Global ETD Search

1	Interest Rate Derivatives : An analysis of interest rate hybrid products Chimanga, Taurai January 2011 (has links) The globilisation phenomena is causing an increasing interaction between different markets and sectors. This has led to the evolution of derivative instruments from ”single asset” instruments to complex derivatives that have underlying assets from different markets, sectors and sub-sectors. These are the so-called hybrid products that have multi-assets as underlying instruments. This article focuses on interest rate hybrid products. In this article an analysis of the application of stochastic interest rate models and stochastic volatility models in pricing and hedging interest rate hybrid products will be explored. Interest rate derivatives hybrid derivatives stochastic interest rate stochastic volatility Shöbel Zhu Hull White model hedging interest rate products
2	Oceňování úrokových derivátů pomocí LIBOR tržního modelu (LMM) / Valuatuion of interest rates derivatives through LIBOR market model Nistorová, Ružena January 2013 (has links) In this thesis, the interest rates derivatives and their valuation based on the future development of interest rates are presented. The Hull-White model focusing on the modeling of the instantaneous spot rates is described in detail. The model is calibrated to the market caplet volatilities and is used to evaluate various interest rates derivatives. The main emphasis is put on the LIBOR market model describing the development of set of forward rates. There are presented and in detail discussed results of the calibration of LMM model on the market swaption volatilities. At the end the two models are compared.
3	Valuation Methods of Interest Rate Options / Metody oceňování úrokových opcí Pumprová, Zuzana January 2010 (has links) The subject of this thesis are selected interest rate models and valuation of interest rate derivatives, especially interest rate options. Time-homogeneous one-factor short rate models, Vasicek and Cox-Ingersoll-Ross, and time-inhomogeneous short rate model, Hull{White, are treated. Heath-Jarrow-Morton framework is introduced as an alternative to short rate models, evolving the entire term structure of interest rates. The short rate models are shown to be special cases of models within the framework. The models are derived using the risk-neutral pricing methodology.
4	連動式債券設計個案研究－固定期限交換利率利差連動與信用連結債券莊筑豐 Unknown Date (has links) 連動式債券已成為目前市場上最熱門的投資工具，標榜著高受益的條款下，常隱含著投資人所不瞭解的風險，利用理論的模型套用在實務商品上，可以令人更清楚認識複雜化的金融衍生性商品。本文在Libor市場模型與Hull-White利率模型的架構下，利用數值方法評價分析最常見的兩種連動式債券－固定期限利率交換利差連動債券與信用連結債券。 Libor市場模型直接拿取市場上可觀察到的遠期Libor利率做為模型的標的，有良好配適目前利率期間結構的優點。利用此模型為出發，校準出波動度期間結構，以蒙地卡羅模擬法來評價固定期限利率交換利差連動債券。由評價結果可量化分析出連動式債券內含的選擇權與零息債券價值為何，探討發行商的發行策略與投資人的風險來源。繼股權、利率連動式商品之後，未來金融商品的連動標的將進入信用風險的階段。以公司債的市場資料建立出一條信用風險曲線(Credit Curve)，最能夠反映出當時市場上大多數人對於未來發生違約事件的預期。在假設利率市場風險和標的公司信用風險是獨立的前提下，將這條曲線和以Hull-White利率模型為基礎建立的利率三元樹與路徑函數結合，便可以適當地評價信用連結債券的價值。最後，求算債券內含的信用違約交換價值，對發行機構的策略與投資人的風險作分析。連動式債券信用連結債券信用風險固定期限利率交換 CLN CMS Libor Market Model Hull-White Model
5	信用連動債券之評價與分析─附有利率上下限及浮動式債券王敏楠 Unknown Date (has links) 信用衍生性商品可規避或轉移信用風險，為金融機構有效管理信用風險的利器。而信用連結票券可視為結合普通票券與信用違約交換的結構型商品，使得票券的發行者得以規避其交易對手的信用風險，投資者也可藉由承擔信用風險而享受投資報酬率增加的益處。本文採用無套利的利率模型Hull-White三元樹來建構利率期間結構，可得到與市場利率期間結構一致的利率期間結構。在假設資產違約回收率為外生變數下，採用實務界常用的方法(Duffie and Singleton,1999)建構信用曲線，以求出邊際違約機率。在已知每個節點上的預期現金流量下，利用回推法可計算出信用連結票券的價值。信用連動債信用風險信用曲線信用衍生性商品 Hull-White模型 Credit Linked Notes Credit Risk Credit Curve Credit Derivatives Hull-White Model
6	信用及利率衍生性商品之評價與分析--以信用連結票券及利率交換為例林淳瑜 Unknown Date (has links) 近年來由於金融自由化的發展，台灣已陸續開放新金融商品，除了股權相關的新金融商品之外，也陸續開放利率相關的新金融商品，如新台幣利率交換、新台幣利率選擇權、債券遠期交易、債券選擇權等。在信用衍生性商品市場方面，我國銀行從2002年底開放承做信用衍生性商品，目前正準備開放證券商承做。隨著金融國際化及自由化，未來將會從國外引進更新穎的金融商品，使金融市場更為完備。本文以Hull – White利率模型及LIBOR市場模型為架構，藉由數值方法評價分析兩個衍生性商品──信用連結票券及利率交換。首先在信用連結票券方面，運用Li（1998）建立信用價差曲線（Credit Curve），將之應用至Hull – White三元樹，評價信用連結票券之價值，並作敏感度分析與避險參數分析。其次在利率交換方面，由於投資人端連結「雪球型」的支付型態，為路徑相依商品，故使用LIBOR市場模型以蒙地卡羅模擬法（Monte Carlo）進行評價與分析，再進行發行者損益兩平分析及情境分析。最後針對兩個商品的評價結果作結論，分析發行者及投資人的利潤及避險，並給予後續研究者模型改進之建議與方向。衍生性商品信用連結票券信用價差曲線 HW模型利率交換雪球型 LIBOR市場模型 Structure Note CLN Credit Curve Hull – White Model IRS Snowball LIBOR Market Model
7	Modely úrokových měr - praktické aspekty / Interest Rate Models - Practical Aspects Hakala, Michal January 2017 (has links) Topic of the master thesis is practice of interest rate models. Literature dedicated to the interest rate models usually presents theory in very general form. Theory presented in general form leads to a gap between theory and practice. Author tries to fill this gap. Thesis describes basic theory and presents practical computations, which are relevant to generating interest rate scenarios. Contribution is given by derivation of formulas and computational methods in form directly applicable for implementation of presented models. It is common practice to validate quality of interest rate scenarios. Author presents several tests and implements them in programming language Python. Tests are implemented as application with graphical user interface.

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