臺灣博碩士論文加值系統

論文名稱： 歐洲美元期貨對利率交換契約定價與避險之研究 頁數：66
校(院)所組別： 私立淡江 大學(學院) 金融 研究所 金融 組
畢業時間及提要： 八十七 學年度第 二 學期 學位論文提要
研究生： 鄭秉弘 指導教授：林蒼祥 博士
邱建良 博士
論文提要內容：
理論上，若利率為隨機變動（stochastic），期貨隱含利率並不等於相對應之遠期利率，因此，直接以歐洲美元期貨為遠期利率指標，進而對遠期利率合約（forward rate agreement）或利率交換契約定價或避險時，必定會產生差距。本研究即在探討估計期貨利率與遠期利率差距的理論與方法，以及使用歐洲美元期貨對利率交換契約定價或避險時，所會產生的差距及其影響。本研究是利用Cox, Ingersoll, and Ross (1985) 的利率期間結構模型，估計期貨利率與遠期利率理論差距。
歐洲美元期貨與利率交換契約的關係原本即十分密切，在芝加哥商品交易所將歐洲美元期貨的最長期契約的期間由三年延長為十年後，歐洲美元期貨和到期期間常達三年以上的利率交換契約關係更為緊密。而隨著利率交換契約的蓬勃發展，歐洲美元期貨的成交量也加速成長，因此，深入探討歐洲美元期貨與利率交換契約的關係相當重要。
本研究發現，對於歐洲美元期貨利率與相對應之遠期利率的理論差距，市場並沒有完全的修正，二年期利率交換契約價格仍須要向下修正約10個基本點，七年期契約則須60個基本點。此結果顯示，市場上歐洲美元期貨和利率交換契約間，仍存在不小的套利空間。對於利率交換契約的避險方面，本研究發現考慮利率差距後，避險比率應該提高。由於利率交換契約每年的成交量有上兆美元，利率理論差距對利率交換契約定價與避險的影響相當值得重視。

Title of thesis: The Research of Pricing and Hedging Total pages: 66
Interest Rate Swap with Eurodollar Futures
Name of Institute : Tamkang University, Graduate Institute of Money, Banking And Finance
Graduate Date : June,1999 Degree Conferred : Master
Name of student : (英文) Ching Ping Hung Advisor: Dr. William T. Lin
(中文) 鄭秉弘 Dr. Jiann-Lian Chiu
Abstract :
In theory, when interest rates vary unpredictably (stochastic), forward and futures price are no longer the same. Thus, treating Eurodollar futures as if they were forward contracts, however, can lead to serious pricing errors. The purpose of this thesis is to characterize the differences between futures rate and forward rate and is to study the effect of those differences as pricing and hedging interest rate swaps. The model of CIR (1985) is used.
The relation between Eurodollar futures and interest rate swaps are closer because the CME had added futures contracts with longer times to expiration (10 years). So, it is important to investigate the relation between Eurodollar futures and interest rate swaps.
The correction to the differences between futures rate and forward rate appears to be incomplete. A two-year swap rate should be drifted down about 10 basis points, but seven-year swap rate should be drifted down about 60 basis points. In addition, hedge ratio should be higher. Given the size of swap market, the value of knowing how to pricing and hedging swaps correctly against Eurodollar futures price is enormous.

目錄
第一章 緒論………………………………………….………………….. 1
第一節 研究動機…………………………….…………………. 2
第二節 研究目的…………………………….…………………. 3
第三節 研究架構…………………………….…………………. 4
第二章 文獻回顧…………….………………………………………….. 5
第一節 利率交換相關經濟理論…………….…………………. 5
第二節 利率交換相關理論……………………………….……..6
第三節 期貨與遠期契約價格之差異……………………….…10
第三章 研究方法…………………………………….………………….16
第一節 歐洲美元期貨與遠期契約理論差距……………….…16
第二節 CIR模型之參數估計………….……………………….24
第三節 利率交換契約之定價方法…………………………….32
第四節 利率交換契約之避險……………………………….…36
第四章 實證結果與分析……………………………….……………….40
第一節 資料說明及處理………………………………….……40
第二節 期貨隱含利率與遠期利率理論差距………………….41
第三節 利率理論差距對利率交換定價之影響……………….45
第四節 利率理論差距對利率交換避險之影響…………….…56
第五章 結論與建議…………………………………………….……….61
第一節 結論……………………………………………….…...61
第二節 建議………………………………………….………...63
參考文獻………………………………………………………….…………..64

參考文獻
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中文部份：
駱瑋，民國85年6月，臺灣票券市場訂價之研究，國立臺灣大學財務金融研究所碩士論文。
蔣明哲，民國86年6月，違約風險與利率交換契約定價之研究，國立政治大學財務管理學系碩士論文。