Theaim of this master-thesis is to study the impact of uncertainty in the local-and implied volatility surfaces when pricing certain structured products suchas capital protected notes and autocalls. Due to their long maturities, limitedavailability of data and liquidity issue, the uncertainty may have a crucialimpact on the choice of valuation model. The degree of sensitivity andreliability of two different valuation models are studied. The valuation models chosen for this thesis are the local volatility model of Dupire and the implied volatility model of Black&Scholes. The two models are stress tested with varying volatilities within an uncertainty interval chosen to be the volatilities obtained from Bid and Ask market prices. The volatility surface of the Mid market prices is set as the relative reference and then successively scaled up and down to measure the uncertainty.The results indicates that the uncertainty in the chosen interval for theDupire model is of higher order than in the Black&Scholes model, i.e. thelocal volatility model is more sensitive to volatility changes. Also, the pricederived in the Black&Scholes modelis closer to the market price of the issued CPN and the Dupire price is closer tothe issued Autocall. This might be an indication of uncertainty in thecalibration method, the size of the chosen uncertainty interval or the constantextrapolation assumption.A further notice is that the prices derived from the Black&Scholes model areoverall higher than the prices from the Dupire model. Another observation ofinterest is that the uncertainty between the models is significantly greaterthan within each model itself. / Syftet med dettaexamensarbete är att studera inverkan av osäkerhet, i prissättningen av struktureradeprodukter, som uppkommer på grund av förändringar i volatilitetsytan. I dennastudie värderas olika slags autocall- och kapitalskyddade struktureradeprodukter. Strukturerade produkter har typiskt långa löptider vilket medförosäkerhet i värderingen då mängden data är begränsad och man behöver ta tillextrapolations metoder för att komplettera. En annan faktor som avgörstorleksordningen på osäkerheten är illikviditeten, vilken mäts som spreadenmellan listade Bid och Ask priset. Dessa orsaker ligger bakom intresset attstudera osäkerheten för långa löptider över alla lösenpriser och dess inverkanpå två olika värderingsmodeller.Värderingsmodellerna som används i denna studie är Dupires lokala volatilitetsmodell samt Black&Scholes implicita volatilitets modell. Dessa ställs motvarandra i en jämförelse gällande stabilitet och förmåga att fånga uppvolatilitets ändringar. Man utgår från Mid volatilitetsytan som referens ochuppmäter prisändringar i intervallet från Bid upp till Ask volatilitetsytornagenom att skala Mid ytan. Resultaten indikerar på större prisskillnader inom Dupires modell i jämförelsemot Black&Scholes. Detta kan tolkas som att Dupires modell är mer känslig isammanhanget och har en starkare förmåga att fånga upp förändringar isvansarna. Vidare notering är att priserna beräknade i Dupire är relativtbilligare än motsvarande från Black&Scholes modellen. En ytterligareobservation är att osäkerheten mellan värderingsmodellerna är av högre ordningän inom var modell för sig. Ett annat resultat visar att CPN priset beräknat iBlack&Scholes modell ligger närmast marknadspriset medans marknadsprisetför Autocallen ligger närmare Dupires. Detta kan vara en indikation påosäkerheten i kalibreringsmetoden eventuellt det valda osäkerhetsintervalletoch konstanta extrapolations antagandet.

結構型商品，這種風險介於固定收益證券和股票之間的產品，甫上市以來，便廣受投資人的青睞，不僅提供保障本金的需求，更賦予參與股市上漲的獲利。且自從2004年之後，隨著目前景氣逐步回升，股票市場也預期會跟著上揚，於是連結股權的結構型商品也不斷地被推出，而其所隱含選擇權逐漸以連動多資產和具有新奇路徑相依條款為主，而使得在評價上，我們所面對的是高維度的問題，一般在處理高維度問題上，皆以傳統蒙地卡羅模擬法來因應。但因其緩慢的收斂速度，成為應用上的最大缺點，而且在處理高維度問題上所需耗費的模擬時間更為顯著。 本論文主要貢獻可分為兩點：第一，在應用準蒙地卡羅法來對多資產結構型商品評價，並採用Silva(2003)和Acworth, Broadie, and Glasserman(1998)的方法，來對準蒙地卡羅法作改善，並利用二檔市面上存在的結構型商品---高收益鎖定型連動債券和優選鎖定連動債券進行評價，結果發現改善後的準地卡羅法，其評價效率高於蒙地卡羅法和反向變異蒙地卡羅法。第二，本文還對高收益鎖定型連動債券提出delta避險策略，透過先計算選擇權對報酬率的delta，再轉換為所需持有股票的部位，最後發現所建立的避險組合能夠完全支應每年到期時所應付給投資人的債息，以及在避險時所需借款的部份，表示此一策略應為可行的避險策略，可供券商作避險上的參考。

本文延伸Hull and White (2010)之跨池因子繫聯結構模型中違約相關性之描述，藉由納入Normal Inverse Gaussian分配並允許其帶有狀態轉換之特性，我們探究信用結構式商品清償順位結構中，影響次順位信用保護層(subordination level)之因素。我們以房屋抵押擔保貸款債權憑證(MBS CDO)為例，分析資產違約相關性、資產池微粒化程度、跨池違約相關性等結構性變數如何影響分券評等之合理性及風險特徵。本文的研究結果呼應Azzalini and Capitanio(2003)中所提及採用Gaussian因子繫聯結構模型之於評價信用結構商品的缺失。我們發現增進信用資產池損失分配的之厚尾性描述，得以改善高估或低估分券信用價差的情況。 / By incorporating the Normal Inverse Gaussian distribution and allowing for regime shifts in the correlation structure of the multi-pool factor copula of Hull and White (2010), in this thesis we explorer the factors constituenting the subordination levels of credit-structured products. Using MBS CDOs as an example, we examine how model-embedded variables, such as default correlation, reference-portfolio granularity, and cross-pool correlation, affect the risk profiles of MBS CDO tranches. Our numerical results echo the findings of Azzalini and Capitanio(2003) in that correlation structure obtained under the Gaussian factor copula model may be inadequate in capturing the fact-tailed characteristic of the reference-pool loss distribution, thus can result in over/under-estimation of CDO tranche spreads.

Submitted by Maura Papa (papamaura@gmail.com) on 2017-01-12T16:22:09Z No. of bitstreams: 1 Dissertação MPGI - Maura Papa.pdf: 2367284 bytes, checksum: b970775c55a3786469561a358052e900 (MD5) / Approved for entry into archive by Josineide da Silva Santos Locatelli (josineide.locatelli@fgv.br) on 2017-01-12T16:58:56Z (GMT) No. of bitstreams: 1 Dissertação MPGI - Maura Papa.pdf: 2367284 bytes, checksum: b970775c55a3786469561a358052e900 (MD5) / Made available in DSpace on 2017-01-12T17:04:15Z (GMT). No. of bitstreams: 1 Dissertação MPGI - Maura Papa.pdf: 2367284 bytes, checksum: b970775c55a3786469561a358052e900 (MD5) Previous issue date: 2016-12-13 / The case is meant to give readers an overview about the concept of Blue Ocean Strategy. Throughout the text hints about what this strategy refers to are given. By knowing the traditional strategic concepts – those that are usually applied in “Red Oceans” – the reader should identify and distinguish them from the Blue Oceans concepts and tools and therefore be able to analyse the case from a different strategic perspective. Recognized examples of Blue Oceans are also given in the Appendix to the case. By learning what a Blue Ocean is, readers should then decide whether the case provided can be considered an example of it or not. The case starts with a brief description of the company, how it was created, how the founders got the idea of the innovative business model and how they developed it. The case describes a situation where the founders themselves discuss about whether their company can be considered an example of Blue Ocean or not. The case follows with other examples of well-recognized Blue Ocean Strategies, to help the reader make comparisons and decide whether the company can be considered itself as another example of it. Last, some possible questions, and suggestions on how to solve them, are provided. Here the reader can reflect again on the Red Oceans tools and see how these are differently applied in Blue Oceans kind of strategies. / O caso destina-se a dar aos leitores uma visão geral sobre o conceito de Estratégia do Oceano Azul. Ao longo do texto dicas são dadas sobre o que esta estratégia se refere. Ao conhecer os conceitos estratégicos tradicionais - aqueles que são geralmente aplicados em "Oceanos Vermelhos" - os leitores devem identificá-los e distingui-los dos conceitos e ferramentas dos oceanos azuis e, portanto, ser capazes de analisar o caso de uma perspetiva estratégica diferente. Exemplos conhecidos de Oceanos Azuis são dados nos Apêndices do caso. Ao aprender o que é um oceano azul, os leitores devem decidir se a empresa pode ser considerada um exemplo dou não. O caso começa com uma breve descrição da empresa, como ela foi criada, como os fundadores tiveram a ideia para a criação de um modelo de negócios inovador e como eles desenvolveram a companhia. O case descreve a situação onde os próprios fundadores discutem se sua empresa pode ser considerada um exemplo de Oceano Azul ou não. O caso continua com outros exemplos reconhecidos de estratégias de Oceano Azul, para auxiliar o leitor a realizar comparações e decidir se a empresa pode ser considerada um caso. Por último, questões e sugestões de como resolver os questionamentos, são disponibilizadas. Assim o leitor pode refletir novamente sobre as ferramentas de Oceano Azul e ver como elas podem ser aplicadas a diferentes tipos de estratégias.

近年來隨著法規與市場逐漸的開放，使得券商可以發行衍生性商品的種類也逐漸增加，而在眾多結構型商品中，不少商品其連結標的包含了多資產與路徑相依條款，可以看成投資一藍子股票且具有多個觀察時間的商品，一方面若連結資產上漲投資人將可得到一定的報酬，另外一方面同時具有下方保護的條款可避免本金嚴重虧損。 而此類商品包含了多資產連結且有路徑相依條款，在評價方面是一個高維度的問題，若使用傳統的蒙地卡羅法來評價，因其收斂速度緩慢常需秏費大量的計算時間，使得蒙地卡羅法在應用上有此缺點，一般來說可以使用對立變數法或控制變數法來改進收斂的速度，另外也可以使用低差異性數列即所謂的準蒙地卡羅法來改進收斂速度，並且準蒙地卡羅法與布朗橋結構或主成份分析法相結合還可加快收斂速度。 本文主要提供二種不同報酬型態的商品，第一個商品為低維度上入局商品，其報酬型態與障礙型選擇類似，第二個商品為連結多資產且路徑相依商品，以此兩商品來探討各種不同方法在不同報酬型態下的收斂速度與準確性，最後文中模擬的結果顯示在所有方法中，使用準蒙地卡羅法結合主成份分析法皆可以得到不錯的收斂速度與準確性。