探討利率衍生性商品的一致性定價及避險：LMM 利率模型;Consistent Pricing and Hedging of Interest Rate Derivatives within the LMM Framework

NCUIR > School of Management at National Central University > Department of Finance > Research Project > Item 987654321/62858

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/62858

Title:	探討利率衍生性商品的一致性定價及避險：LMM 利率模型;Consistent Pricing and Hedging of Interest Rate Derivatives within the LMM Framework
Authors:	吳庭斌
Contributors:	國立中央大學財務金融學系
Keywords:	財政（含金融;保險）
Date:	2013-12-01
Issue Date:	2014-03-17 14:06:08 (UTC+8)
Publisher:	行政院國家科學委員會
Abstract:	研究期間：10208~10307;This research contains two parts and will be completed in two years. The first part intends to choose the most versatile interest rate models from the interest rate models used in practice, and then adopts it to derive pricing formulas of popular interest rate derivatives such as swaptions, bond options, caps and floors. In this way, the parameters of the resulting pricing formulas are consistent. Based on these consistent pricing formulas, this research further intends to design a hedging strategy consistent to all interest rate derivatives. By using this proposed hedging strategy, if an investment bank contains a portfolio of interest rate derivatives, then the interest rate volatility and the term structure of interest rates risks can be hedged in a consistent, efficient and accurate way. The hedging strategy for other risks of a portfolio composed of interest rate derivatives will also be examined in this research.
Relation:	財團法人國家實驗研究院科技政策研究與資訊中心
Appears in Collections:	[Department of Finance] Research Project

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