本論文第一章將 LIBOR 市場模型加入股價動態，並求出其風險中立過程下的動態模型，並利用此模型評價股籌交換契約。第二章將 LIBOR 市場模型擴展成兩國的市場模型，加入兩國股價動態，並求出風險中立過程下的動態模型，並利用此模型評價跨國股籌交換契約。本論文第二部份說明如何實際使用此模型，並使用蒙地卡羅模擬檢驗此評價模型的正確性。 / This thesis includes two main chapters. Chapter 2 is entiled as "Equity Swaps in a LIBOR Market Model" and Chapter 3 is entitled as "Cross-Currency Equity Swaps in a LIBOR Market in a Model". The conclusions of this thesis are made in Chapter 4. In Chapter 2, we extends the BGM (Brace, Gatarek and Musiela (1997))interest rate model (the LIBOR market model) by incorporating the stock price dynamics under the martingale measure. As compared with traditional interest rate models, the extended BGM model is easy to calibrate the model parameters and appropriate for pricing equity swaps. The general framework for pricing equity swaps is proposed and applied to the pricing of floating-for-equity swaps with either constant or variable notional principals. The calibration procedure and the practical implementation are also discussed. In Chapter 3, under the arbitrage-free framework of HJM, we simultaneously extends the BGM model (the LIBOR market model) from a single-currency economy to a cross-currency case and incorporates the stock price dynamics under the martingale measure. The resulting model is very general for pricing almost every kind of (cross-currency) equity swaps traded in OTC markets. The calibration procedure and the hedging strategies are also provided in this paper for practical operation. The pricing formulas of the equity swaps with either a constant or a variable notional principal and with hedged or un-hedged exchange rate risk are derived and discussed as examples.

Counterparty Credit Risk and Interest Rate Derivatives Pricing Jakub Černý Abstract: This thesis deals with the pricing of OTC financial derivatives including the coun- terparty credit risk (CCR). It focuses on the interest rate derivatives for which the interest rate must be modeled as random. This is where they differ from the pricing of other derivatives. The credit valuation adjustment (CVA) concept is used to calculate CCR which is in line with current banking regulation Basel III. When we assume the independence of the underlying asset and the credit quality of the counterparty, we obtain an analytical expression of CVA. However, if the independence is violated, the CVA calculation becomes quite complicated. Specifically, the CVA of the inter- est rate swap (IRS) is calculated mainly using the simulation approach which is time and computationally consuming. Therefore, we bring two new methods for IRS CVA calculation where the CVA is expressed in a semi-analytical form. These methods use copula functions, particularly the Gaussian copula and the upper Fréchet bound, and we compare them numerically with a complex simulation study. Furthermore, we pro- pose a method of calibration of the correlation coefficient and we determine the impact of changes in the intensity of default on the final CVA with four...

The main contribution of the diploma thesis is to give a comprehensive picture of the switch from LIBOR to OIS discounting. Prior to the global financial crisis, LIBOR (London Interbank Offered Rate) represented an approximation of the risk-free rate in the valuation of interest rate derivatives. The collapse of Lehman Brothers in 2008 resulted in sharp widening of the LIBOR-OIS spread, an indicator of the interbank market stress. Many derivative practitioners have become concerned about the choice of an appropriate risk-free rate. Traditional valuation approaches using LIBOR discounting have been reviewed. Meanwhile, the OIS (Overnight Indexed Swap) rate has become a better proxy for the risk-free rate, at least for collateralized or centrally cleared transactions. Firstly, the research aims to discover the divergences between LIBOR rates, popular pre-crisis proxies for the riskfree rate, and OIS rates, their post-crisis alternatives. Secondly, it covers the interbank lending market, and analyzes individual LIBOR-OIS spreads for the USD, EUR, GBP and CZK currency. Thirdly, it explores the transition to OIS discounting in connection with an influence on a wide spectrum of interest rate derivatives. Therefore, any potential effects are demonstrated on numerical valuation examples of interest rate swaps in the USD, EUR, and GBP currency. Finally, the diploma thesis addresses a topic of collateral management and clarifies different approaches using LIBOR or OIS rates for collateralized or non-collateralized transactions.

The purpose of this research is to highlight if contemporary practices for using interest rate derivatives in large non-financial Swedish corporations are consistent with theoretical incentives for using such derivative instruments. Most theoretical incentives were developed before the financial crisis of 2007-08. The introduction of new regulations, accounting practices and pricing methods has changed the prices of derivatives and the administrative burden related to hedging. Traditional academic literature commonly gives eight incentives for why corporations use interest rate derivatives (described further in the thesis). Following surveys and interviews with 13 relevant corporate professionals, the study finds that three of the theoretical incentives strongly motivate corporate managers’ use of interest rate derivatives. Four other theoretical incentives are found to partially explain motives for corporate managers’ hedging practices, whilst one of the theoretical incentives is found to be an irrelevant motive for corporate managers in practice.   In addition to the tested incentives, the study finds that Swedish corporations which occasionally raise capital in non-functional currencies actively use cross-currency swaps to convert outstanding non-functional debt currency to the company’s functional currency. The practice is commonly recognised amongst industry professionals but not widely cited in academia.   Compared to 10-15 years ago, treasury functions in Swedish corporations are found to require more knowledge in accounting and administration and less market savvy. During this period, the number of dealers in Swedish corporate treasury departments has been reduced significantly, as corporations have effectively outsourced part of their market operations to banks. / Denna uppsats undersöker om verkliga motiv och praxis för användning av räntederivat i svenska storföretag är förenliga med teoretiska incitament för räntederivatanvändning som ofta förekommer i akademisk litteratur. De flesta teoretiska förklaringsmodeller för företags användning av räntederivat utvecklades och beskrevs innan den globala finanskrisen 2007-08. Efter krisen har värderingen av räntederivat samt det administrativa arbetet kring instrumenten förändrats till följd av implementering av nya finansiella regler, bokföringsregler och prissättningsmetoder. Akademisk litteratur beskriver generellt åtta teoretiska incitament om varför företag använder räntederivat (vilka finns sammanfattade i detta arbete). För att verifiera teoretiska grunder och medvetenhet kring dessa teorier genomfördes en enkätundersökning samt djupintervjuer med totalt 13 beslutsfattare inom räntederivat i svenska storföretag. Studiens resultat ger starkt stöd till att tre av de teoretiska incitamenten i hög grad överensstämmer med verkliga motiv för användning av räntederivat, samt att fyra incitament delvis kunde förklara verkliga motiv, medan stöd saknades för ett teoretiskt incitament. Utöver de åtta testade incitamenten visar studiens resultat att det finns ett ytterligare motiv för användning av räntederivat: räntevalutaswappar används av flera svenska storföretag som emitterar obligationer i utländsk valuta för att konvertera pengar till företagets funktionella valuta. Förfarandet är känt inom industrin men understuderat i akademisk litteratur. Studien visar att kunskap inom bokföring och administration relaterat till finansiella derivat har blivit allt viktigare för svenska storföretags internbanker, medan vikten av att ha en aktiv marknadssyn minskat, jämfört mot 10-15 år sedan. Över denna tidsperiod har antalet handlare i storföretagens internbanker minskat kraftigt, då flera av funktionerna i praktiken har outsourcats till banker.

Denna uppsats behandlar vilka faktorer som påverkar svenska fastighetsbolags syn på ränteswappar och huruvida coronapandemin, IFRS regelverket, den nya referensräntan Swestr eller bolagens rating har någon betydelse i detta. Studien undersöker vidare hur stor efterfrågan på räntederivat tidigare har varit, samt hur framtidsutsikterna ser ut gällande användandet av ränteswappar. För att besvara studiens problemformulering har en kvalitativ metod använts, där fem semistrukturerade intervjuer med både fastighetsbolag och en bank varit utgångspunkten till arbetets slutsats. Studiens resultat visar att samtliga tillfrågade fastighetsbolag har en egen räntesäkringsstrategi och egna preferenser vad gäller räntederivat. Idag använder en klar majoritet av svenska fastighetsbolag ränteswappar i sina räntesäkringsstrategier, men studien tyder på att mindre aktörer på marknaden eventuellt i framtiden kommer söka sig till simplare lösningar. Vidare visar studien att varken coronapandemin, IFRS regelverket eller Swestr påverkar fastighetsbolagens förhållningssätt till ränteswappar. Däremot kan det externa ratingbetyget indirekt ha en koppling till hur ett fastighetsbolag väljer att hedga sig mot räntefluktuationer.  Studiens område är fortsatt vagt undersökt och ämnet kommer förbli intressant att forska vidare på i framtiden. / This study deals with the factors that affect Swedish real estate companies´ views on interest rate swaps and whether the corona pandemic, the IFRS regulations, the new reference interest rate Swestr or the companies external rating have any significance in this. The study further examines how the demand for interest rate swaps has changed and how the future looks like. To fulfill the purpose of the study, a qualitative method has been used, with five semi-structured interviews with both real estate companies and a bank. The collected answers have formed the basis of this paper's conclusion.  The results of the study show that all real estate companies surveyed have their own interest rate hedging strategy, and their own preferences on interest rate derivatives. A majority of Swedish real estate companies use interest rate swaps today in their interest rate hedging strategies, but this study indicates that smaller real estate corporations in the market may seek more simple solutions in the future. Furthermore, the study indicates that neither the coronavirus pandemic, the IFRS regulations nor Swestr has an impact in the real estate companies´ approach towards interest rate swaps. On the other hand, the external rating can indirectly be a reason why real estate companies choose to hedge with interest rate derivatives against interest rate fluctuations. The field of study is still vaguely researched and the subject will remain interesting to research in the future.

This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. Moreover, the construction of interest rate models (term-structure models), pricing of bonds and interest rate derivatives, using both equilibrium and no-arbitrage approaches are discussed, compared and contrasted. Further, we look at the HJM framework and the LMM model to evaluate and simulate forward curves and find the forward rates as the discount factors. Finally, the new framework (after financial crisis in 2008), under the collateral agreement (CSA) has been taken into consideration.

Submitted by Fernando Kenji Suzuki (fernandok.suzuki@gmail.com) on 2015-09-15T02:03:13Z No. of bitstreams: 1 main.pdf: 1014824 bytes, checksum: 78c5726b7429d94596849075c18716ec (MD5) / Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Prezado Fernando, boa tarde Conforme Normas da ABNT, será necessário realizar os seguintes ajustes: Na CAPA: Seu nome deve estar um pouco acima, de uma maneira centralizada entre o nome da escola e o título do trabalho. CAPA e CONTRACAPA: Retirar a formatação Itálica da palavra Jumps. Em seguida realize uma nova submissão. Att. on 2015-09-15T18:58:14Z (GMT) / Submitted by Fernando Kenji Suzuki (fernandok.suzuki@gmail.com) on 2015-09-16T02:49:23Z No. of bitstreams: 1 main.pdf: 992654 bytes, checksum: 97c7605bf15b07b1b7554b66c33f1a12 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2015-09-16T19:44:21Z (GMT) No. of bitstreams: 1 main.pdf: 992654 bytes, checksum: 97c7605bf15b07b1b7554b66c33f1a12 (MD5) / Made available in DSpace on 2015-09-16T20:12:00Z (GMT). No. of bitstreams: 1 main.pdf: 992654 bytes, checksum: 97c7605bf15b07b1b7554b66c33f1a12 (MD5) Previous issue date: 2015-08-22 / Using market data obtained from BM&F Bovespa, this paper proposes a possible variation of Heath, Jarrow and Morton model in his discrete and multifactorial way, with the insertion of jumps as a way to consider the effect of the meetings held by the Brazilian Monetary Policy Committee (Copom). Through the use of principal component analysis (PCA), the calibration of the model parameters is made, allowing the simulation of the evolution of the term structure of interest rate known as PRE via Monte Carlo Simulation (MCS). With the scenarios generated by the simulation of the curve at fixed vertices (synthetic), the results are compared to the data observed in the market. / Utilizando dados de mercado obtidos na BM&F Bovespa, este trabalho propõe uma possível variação do modelo Heath, Jarrow e Morton em sua forma discreta e multifatorial, com a introdução de jumps como forma de considerar o efeito das reuniões realizadas pelo Cômite de Políticas Monetárias (Copom). Através do uso da análise de componentes principais (PCA), é feita a calibração dos parâmetros do modelo, possibilitando a simulação da evolução da estrutura a termo de taxa de juros (ETTJ) da curva prefixada em reais via simulação de Monte Carlo (MCS). Com os cenários da curva simulada em vértices fixos (sintéticos), os resultados são comparados aos dados observados no mercado.

Submitted by Nelson Nojima (nelson.nojima@gmail.com) on 2013-09-09T22:05:53Z No. of bitstreams: 1 Dissert-NelsonNojima_v27a.pdf: 752789 bytes, checksum: 162111784a7b3f201faadac1a7a9417f (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-09-10T12:39:18Z (GMT) No. of bitstreams: 1 Dissert-NelsonNojima_v27a.pdf: 752789 bytes, checksum: 162111784a7b3f201faadac1a7a9417f (MD5) / Made available in DSpace on 2013-09-10T12:56:54Z (GMT). No. of bitstreams: 1 Dissert-NelsonNojima_v27a.pdf: 752789 bytes, checksum: 162111784a7b3f201faadac1a7a9417f (MD5) Previous issue date: 2013-08-23 / For the purpose of pricing interest rate derivatives in the Brazilian market, this work focuses on the numerical implementation of the Heath, Jarrow and Morton model (1992) in its multi-factor discrete form, which allows for great flexibility on the estimation of the forward rate curve under a volatility term structure based on orthogonal factors (PCA), thus facilitating the Monte Carlo simulation of its dynamics as a consequence of the independence of these factors. The volatility term structure is built in a non-parametric way based on synthetic buckets obtained via interpolation of historical data of BM&FBOVESPA DI Futures ranging from Jan/2nd/2003 to Dec/28th/2012. The Brace and Musiela (1994) adaptation of the HJM Model was adopted in this study. The following derivatives are priced: DI Futures, options on the IDI index, and options on DI Futures. / Com o objetivo de precificar derivativos de taxas de juros no mercado brasileiro, este trabalho foca na implementação do modelo de Heath, Jarrow e Morton (1992) em sua forma discreta e multifatorial através de uma abordagem numérica, e, que possibilita uma grande flexibilidade na estimativa da taxa forward sob uma estrutura de volatilidade baseada em fatores ortogonais, facilitando assim a simulação de sua evolução por Monte Carlo, como conseqüência da independência destes fatores. A estrutura de volatilidade foi construída de maneira a ser totalmente não paramétrica baseada em vértices sintéticos que foram obtidos por interpolação dos dados históricos de cotações do DI Futuro negociado na BM&FBOVESPA, sendo o período analisado entre 02/01/2003 a 28/12/2012. Para possibilitar esta abordagem foi introduzida uma modificação no modelo HJM desenvolvida por Brace e Musiela (1994).