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| 研究生： |
周奇勳 |
|---|---|
| 論文名稱： |
連結匯率變動之利率衍生性商品相關研究 Valuation of quanto interest rate derivatives in a cross-currency LIBOR market model |
| 指導教授： | 陳松男 |
| 學位類別： |
博士
Doctor |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2010 |
| 畢業學年度： | 98 |
| 語文別： | 中文 |
| 論文頁數： | 37 |
| 中文關鍵詞： | 跨貨幣市場利率模型 、匯率連動利率交換 、匯率連動利率上限 、新奇匯率連動交換 |
| 相關次數： | 點閱：166 下載：62 |
| 分享至: |
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在這篇論文裡，我們考量在跨貨幣經濟體系中的市場利率模型，除了本國利率，同時考慮外國利率與兩國匯率的變動過程。在這個架構之下，我們推導匯率連動利率衍生性商品的價格，此模型具有易於執行且參數估計容易的特點。
1 Introduction 4
2 The Model 7
3 Valuation of Quanto Interest Rate Derivatives 12
3.1 Quanto Swaps 12
3.2 Quanto Caps/Floors 15
3.3 Exotic Quanto Swaps 18
4 Calibration and Numerical Analysis 22
4.1 Calibration Procedure 22
4.2 Numerical Analysis 24
5 Conclusion 29
Appendix A: Proof of Theorem 1 30
Appendix B: Proof of Theorem 2 32
Appendix C: Proof of Theorem 5 34
Appendix D: The Market Data 35
Bibliography 36
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