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研究生:王薇楨
研究生(外文):Wei-Jen Wang
論文名稱:市場利率模型對區間型計息債券之定價及分析
論文名稱(外文):Pricing and Analyzing Range Note 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:2005
畢業學年度:93
語文別:英文
論文頁數:36
中文關鍵詞:市場利率模型區間型計息債券
外文關鍵詞:LIBOR Market ModelRange Note
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本篇論文主要是在對結構型商品:區間型計息債券之特性與此商品的價格變化與影響因素進行分析,而在評價上,則是利用市場利率模型以蒙地卡羅模擬方式進行定價,利用市場利率模型進行模擬,相較於其他模型,其校準的過程較為簡便,透過此模型的應用,希望能以較為直觀、簡單的方式,對區間型計息債券定價,並對定價之結果,及影響定價之因素進行探討,除此之外,針對區間型計息債券的特性,從發行者的角度對其避險策略進行分析。
The aim of this article is to price and analyze the range note which is a kind of structure notes with the digital option embedded. First, we discuss the feature and the structural variation of the range note. Second, we use the Libor market model to price the range note and observe the variation of price under the changes of the structure of the contract, the parameter of model and the market term structure. Finally, we will provide the hedge strategy for the issuer of the range note through the analysis of structure.
Content
1.Introduction…………………………………………………………………………1
2.Range Notes
2.1 Concept………………………………………………………………………….4
2.2 Structural Variations……………………………………………………………..6
2.2.1 Adjustment of range notes…………………………………………………6
2.2.2 Index variations…………………………………………………………….9
2.3 Pricing of range note……………………………………………………………..9

3.The Libor Market Model and Monte Carlo Simulation
3.1 Model Description……………………………………………………………….11
3.2 Libor Process ……………………………………………………………………12
3.3 Multi-factor Libor Market Model………………………………………………..14
3.4 Simulation………………………………………………………………………..15

4.Valuation and Analysis of Range Notes
4.1Numerical Result and Analysis………………………………………………….17
4.1.1Influence of yield curve variation……………………………………….19
4.1.2Influence of volatility variation………………………………………….20
4.2Influence of two-factor model …………………………………………………..21

5.Hedging of Range Notes
5.1 Measuring the risk of range note…………………………………………... 30
5.2 Hedging strategy…………………………………………………………………31
6.Conclusion 34
Reference…………………………………………………………………………….35
1.Brace,A. Gatarek,D. and Musiela,D.(1997), 'The Market Model of Interest Rate
Dynamics', Mathematical Finance, v7(2),127-147.


2.Brigo, D. and Mercurio, F.,2001, Interest rate models : theory and practice,
Springer.


3.Das, S., 2001, Structured Products & Hybrid Securities, Wiley.

4.Driessen,J. Klaassen,P. and Melenberg,B.(2003), 'The Performance of Multi-factor
Term Structure Models for Pricing and Hedging Caps and Swaptions.', Journal
of Financial and Quantitative Analysis,38, 635-672.

5.Hull,J.,2002, Options,Futures and Other Derivatives, fifth edition, Prentice Hall.

6.Jarrow,R. and Turnbull,S.,2000, Derivative Securities, second edition, South-Western.

7.Joao Pedro Vidal Nunes,2004, 'Multifactor Valuation of Floating Range Notes.',
Mathematical Finance ,v14(1), 79-97.

8.London,J.,2004, Modeling Derivatives in C++, Wiley.

9.Navatte,P. and Quittard-Pinon,F.,1999, 'The Valuation of Interest Rate Digital
Options and Range Notes Revisited.', European Financial Mgmt .5, 425-440.

10.Neftci,S. N.,2004, Principles of Financial Engineering, Elsevier Academic.

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

12.Rebonato,R.,2002, Modern Pricing of Interest-Rate Derivatives, Princeton University.

13.Turnbull, S.,1995, 'Interest Rate Digital Options and Range Notes', Journal of
Derivatives, Fall, 92-101.
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