臺灣博碩士論文加值系統

這篇論文是在描述利用Ho, Stapleton and Subrahmanyam在1995年提出的再結合二元樹模型，去實作LIBOR市場模型。再結合的二元樹模型提供了一個快速而且精確的方法去評價一些利率衍生性金融商品，甚至是路徑相依的商品。

The thesis is concerned with the implementation of the LIBOR market model, using the Ho, Stapleton and Subrahmanyam(1995) model, a recombining tree model. The recombining tree model provides a fast and accurate approach for the valuation of path{ dependent interest rate derivatives.

1 Introduction 2
2 The LIBOR Market Model 4
2.1 De‾nition of the LIBOR Market Model . . . . . . . . . . . . . . . . . 5
2.2 Implementation of the LIBOR Market Model . . . . . . . . . . . . . . 6
3 Methodology 7
3.1 The One-Factor HSS Model . . . . . . . . . . . . . . . . . . . . . . . 7
3.2 Application in LIBOR Market Model . . . . . . . . . . . . . . . . . . 11
4 The Pricing of Interest Rate Derivatives 14
5 Conclusions 18

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