簡易檢索 / 詳目顯示

回結果列表
研究生： 邱荷晴
Chiu, He-Ching
論文名稱： 美元可贖回債券之評價與分析
Evaluation and Analysis of Callable Bonds
指導教授： 鍾經樊
Chung, Ching-Fan
銀慶剛
Ing, Ching-Kang
口試委員: 林金龍
Lin, Jin-Lung
張焯然
Chang, Jow-Ran
學位類別： 碩士
Master
系所名稱： 理學院 - 統計學研究所
Institute of Statistics
論文出版年： 2021
畢業學年度： 109
語文別： 英文
論文頁數： 36
中文關鍵詞： 可贖回債券 、利率模型 、利率三元樹 、校正參數 、參數因時而變
外文關鍵詞： Black-Karasinski Model, Parameters Calibration, Time-varying parameters
相關次數： 點閱：2  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報

    • 本文使用利率模型定價美元可贖回債券。利用交換選擇權的隱含波動率估計Hull-White和Black-Karasinski兩種利率模型的模型參數，再根據債券合約評價美元可贖回債券。本文提出建構參數因時而變之利率模型的方法，並比較參數為常數以及參數因時而變的可贖回債券評價結果。

    This article implements interest rate models to evaluate callable bonds. We use market implied volatilities of swaptions to calibrate the model parameters, mean reversion, and volatility of the Hull-White model and the Black-Karasinski model, respectively, then price callable bonds according to the bond contracts. We propose a method to construct an interest rate model with time-varying parameters. Eventually, we compare the evaluation results of interest rate models with time-varying parameters and the model with constant parameters.

    摘要 i Abstract ii List of Tables v List of Figures vi 1 Introduction 1 2 Short Rate Models and Closed Forms 2 2.1 The Hull-White Model 3 2.1.1 The Short Rate Dynamics 3 2.1.2 Closed Forms for Options and Swaptions 4 2.2 The Black-Karasinski Model 5 3 Implementation of Short Rate Models with a Tree 7 3.1 The Construction of a Trinomial Tree (Hull and White, 2001) 7 3.2 Pricing Bonds and Derivatives with a Tree 11 3.2.1 Coupon Bonds11 3.2.2 Swaptions11 3.2.3 Callable Bonds 12 4 Methodology 13 4.1 Zero Rate Curves 13 4.2 Black’s Swaption Model 14 4.3 Relations between Model and Market Parameters 14 4.3.1 The Hull-White Model 15 4.3.2 The Black-Karasinski Model 16 4.4 Calibration to Swaptions 17 5 Numerical Results 19 5.1 Model Parameters 19 5.2 Pricing Callable Bonds 20 5.2.1 Example 1 21 5.2.2 Example 2 23 5.2.3 Example 3 24 5.3 Sensitivity Test 25 6 Conclusion 26 References 27 Figures and Tables 28

    [1] Black, F. and Karasinski, P. (1991). Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47(4):52–59.
    [2] Brigo, D. and Mercurio, F. (2007).Interest rate models-theory and practice: with smile, inflation and credit. Springer Science & Business Media.
    [3] Gurrieri, S., Nakabayashi, M., and Wong, T. (2009). Calibration methods of hull-white model.Available at SSRN 1514192.
    [4] Hull, J. and White, A. (1990). Pricing interest-rate-derivative securities.The review of financial studies, 3(4):573–592.
    [5] Hull, J. and White, A. (2001). The general hull–white model and super calibration.FinancialAnalysts Journal, 57(6):34–43.
    [6] Nelson, C. R. and Siegel, A. F. (1987). Parsimonious modeling of yield curves.Journal of business, pages 473–489

    QR CODE