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研究生:張育瑞
研究生(外文):Yu-Jui Chang
論文名稱:市場利率模型下利率上限契約的評價與避險
論文名稱(外文):Pricing and Hedging Interest Rate Caps in LIBOR Market Model
指導教授:岳夢蘭岳夢蘭引用關係
指導教授(外文):Meng-Lan Yueh
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:42
中文關鍵詞:利率上限契約蒙地卡羅模擬市場利率模型利率界限上限契約
外文關鍵詞:LIBOR Market ModelMonte Carlo Simulationinterest rate capinterest rate barrier cap
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本論文透過蒙地卡羅模擬探討在市場利率模型下利率上限契約的評價與避險。吾人將本論文分為兩部分分析,第一部分著重在間斷型態利率界限選擇權的評價。由於界限選擇權相對於標準歐式選擇權來的便宜,而成為近年來市場上風險管理者所喜愛的避險工具。因此我們將探討隨著市場利率模型中遠期利率波動度的變動,對間斷型態界限利率上限選擇權價值的影響。第二部分著重在利率上限契約的避險。我們選用不同到期日的零息債券當作避險工具,至於這些零息債券的到期日及數目的選擇則是我們所要討論的主題。由模擬的結果顯示,我們可簡化成只選用四張不同到期日的債券便可達到與選用N+1張不同到期日債券相似的結果(N為利率上限契約的重設次數)。
In this paper, the LIBOR Market Model is implemented to price and hedge interest rate caps by Monte Carlo simulation. The study falls into two parts. In the first part, we focus on pricing discrete interest rate barrier caps. Barrier caps, less expensive than vanilla caps, have become very popular in recent year as useful hedging instruments for risk management strategies, and we use Monte Carlo procedure to value discrete barrier caps based on the LIBOR Market Model. In the second part of the study, we focus on the hedging of vanilla caps. The choices of the number and maturity of the hedging instruments which use the zero coupon bonds are the subject in this paper. We replicate numbers of hedging portfolios of interest rate caps and test the hedging performance of these portfolios by simulation. The numerical results of the hedging of interest rate caps show that we can simplify zero coupon bonds with N+1 maturities to be using zero coupon bonds with four maturities. Here, N is the number of reset dates. The result suggests that we can choose zero coupon bonds with four maturities, as hedging instruments of interest rate cap, mature most closely at the initial and end life of the interest rate cap respectively.
Contents

1. Introduction………………………………………………………………………1
2. Interest Rate Cap and Discrete Barrier Cap Agreements……………………4
2.1 Interest Rate Caps………………………………………...………………4
2.2 Discrete Barrier Interest Rate Caps………………...……………………6
3. The Model……………………………………………………………………8
3.1 LIBOR Market Model…………………………………………………..8
3.2 Interest Rate Cap Prices…………………….………………………11
4. Simulation………………………………………………………………………14
4.1 Simulation Routine……………………………………………………….14
4.2 Discounting Procedures………………………………….…………16
5. Numerical Results……………………………………………………………..18
5.1 Discrete Barrier Caps…………………………………………………...18
5.2 Effects of Volatility Structures………………………………………….19
6. Hedging Strategy………………………………………………………………23
6.1 Hedging Portfolios Constructions………………………………………23
6.2 Hedging Performance……………………………………………………26
7. Conclusion……………………………………………………………………….40
Reference…………………………………………………………………………….41









Table Contents

Table 4.1 Paths of LIBOR rates…………...…………………………………………16
Table 5.1 Prices of discrete barrier caps…….….……………….…………….…..…19
Table 5.2 Valuation of Up-and Out Barrier Cap at Different VolatilityLevels…….....21
Table 5.3 Valuation of Up-and Out Barrier Cap at Different Volatility Levels……...22
Table 6.1 Price Sensitivities of Hedging Portfolios…………………………………27
Table 6.2 Price Sensitivities of Hedging Portfolios of Different Maturity Caps..…..28
Table 6.3 Price Sensitivities in Upward Term Structure………………..………..…30
Table 6.4 Price Sensitivities in Downward Term Structure……………..…………30
Table 6.5 Hedging Performance of 2-year Interest Rate Cap……………..………32
Table 6.6 Hedging Performance of 4-year Interest Rate Cap……………..………33
Table 6.7 Hedging Performance of 6-year Interest Rate Cap……………..………34




















Figure Contents

Figure 6.1 The shape of upward term structure………………………………….29
Figure 6.2 The shape of downward term structure………………………………29
Figure 6.3 2-year Cap Hedge Results……………………………………………35
Figure 6.4 4-year Cap Hedge Results……………………………………………35
Figure 6.5 6-year Cap Hedge Results……………………………………………36
Figure 6.6 2-year Cap Hedge Results under upward term structure……………..36
Figure 6.7 4-year Cap Hedge Results under upward term structure……………..37
Figure 6.8 6-year Cap Hedge Results under upward term structure……………..37
Figure 6.9 2-year Cap Hedge Results under downward term structure………….38
Figure 6.10 4-year Cap Hedge Results under downward term structure………….38
Figure 6.11 6-year Cap Hedge Results under downward term structure………….39
Reference

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Brace, A., 1998, Simulation in the GHJM and LFM models, FMMA NOTES, 19 February

Driessen, J., P. Klaasen, and B. Melenberg, 2003, The performance of multi-factor term structure models for pricing and hedging caps and swaption, Journal of Financial & Quantitative Analysis, September, Vol. 38, Issue 3, pp. 635

Dun, T., S. Erik, and B. Geoff, 1999, Simulated swaption hedging in the lognormal forward LIBOR model, Working paper, June, University of Technology, Sydeny

Dun, T., S. Erik, and B. Geoff, 2000, Simulated swaption delta-hedging in the lognormal forward LIBOR model, 2001, International Journal of Theoretical and Applied Finance, Vol. 4, No. 4, pp. 677-709

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Pelsser, A., 2000, Efficient Methods for Valuing Interest Rate Derivatives (Springer)
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