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研究生： 趙子賢
Chao, Tzu-Hsien
論文名稱： 市場模型下利率連動債券評價 — 以逆浮動、雪球型、及每日區間型為例
Callable LIBOR Exotics Valuation in Lognormal Forward LIBOR Model, Cases of Callable Inverse Floater, Callable Cumulative Inverse Floater, and Callable Daily Range Accrual Note
指導教授： 廖四郎
學位類別： 碩士
Master
系所名稱： 商學院 - 金融學系
Department of Money and Banking
論文出版年： 2005
畢業學年度： 94
語文別： 英文
論文頁數： 68
中文關鍵詞： 結構債券 、市場模型 、最小平方蒙地卡羅法
外文關鍵詞： Structured Notes, Lognormal Forward LIBOR Model, Least-squares Monte Carlo Simulation
相關次數： 點閱：129  下載：36 
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    • 國內結構債市場業已蓬勃發展，市場模型亦相當適合結構債評價。本文在市場模型下，因市場模型不具馬可夫性質，運用最小平方蒙地卡羅法針對三連結標的為LIBOR的結構債進行評價。

    The market of the structured notes has been blossoming. The lognormal forward LIBOR model is more suitable for the valuation of structured notes than do the traditional interest rate models. In this article, we perform three case studies of the valuation of the structured notes linked to LIBOR in lognormal forward LIOBR model. It is easier to implement the lognormal forward LIBOR model by Monte Carlo simulation due to the non-Markovian property. Therefore, the least-squares Monte Carlo approach is used to deal with the callable feature of the structured notes in our case studies.

    1 Introduction
    1.1 Motive 1
    1.2 Objective 1
    1.3 Structure 1
    2 Callable LIBOR Exotics and Interest Rate Models
    2.1 Callable LIBOR Exotics 3
    2.1.1 Definition 4
    2.1.2 Examples 6
    2.2 Interest Rate Models 8
    2.2.1 Short Rate Models 9
    2.2.2 The Heath, Jarrow, and Morton (HJM) Model 13
    2.2.3 The Market Models 15
    2.3 Choosing the Lognormal Forward LIBOR Model (LFM) 16
    3 Lognormal Forward LIBOR Model
    3.1 The LFM 17
    3.1.1 The Model Set-up 17
    3.1.2 Pricing Derivatives, Example of Cap (Caplet) 23
    3.1.3 The Dynamics of LFM under Different Numeraires 25
    3.2 The Callable Feature 30
    The Least-squares Approach 30
    3.3 Model Calibration 37
    Instantaneous Volatility Calibration 38
    4 Case Study
    4.1 Callable Inverse Floater Note 44
    4.2 Callable Cumulative Inverse Floater 55
    4.3 Callable Daily Range Accrual Note 59
    5 Conclusion
    Appendix 66
    References 67

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