淡江大學機構典藏:Item 987654321/101313
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 59600/92896 (64%)
造访人次 : 819288      在线人数 : 42
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧:
  • 您可在西文检索词汇前后加上"双引号",以获取较精准的检索结果
  • 若欲以作者姓名搜寻,建议至进阶搜寻限定作者字段,可获得较完整数据
  • 进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/101313


    题名: 馬可夫調整跳躍擴散模型下財務契約所附之相對報酬率保證之評價
    其它题名: Pricing Relative Guarantees Embedded in Financial Contracts under a Markov-Modulated Jump-Diffusion Model
    作者: 謝宗佑
    贡献者: 淡江大學財務金融學系
    关键词: 馬可夫調整跳躍擴散模型;保證;保證報酬率;財務契約;退休金計畫;保險;Markov-modulated Jump-diffusion Model;Guarantee;Guaranteed Rate of Return;Financial Contracts;Pension Plans;Insurance
    日期: 2013-08
    上传时间: 2015-04-21 16:00:40 (UTC+8)
    摘要: 本研究的目的為使用馬可夫調整跳躍擴散模型(Markov-modulated jump-diffusion model; MMJDM)來評價財務契約中所附之相對報酬率保證之價值 (RGEIFCs) 。MMJDM 中同時考慮了rare events 與 time-inhomogeneity 對評價的影 響。因此,使用MMJDM 評價RGEIFCs 預期將比一般只有使用布朗運動(geometric Brownian motion; GBM)的模型來得更為準確。 文中將會分析比較在 MMJDM 與GBM 架構下之評價差異。為能供實務運用, 並將探討如何進行參數校準(Calibration);文中亦將進行蒙地卡羅模擬(Monte Carlo Simulation)以驗證模型理論解的準確性與效率性。最後亦將進行情境分析(scenario analysis)以探討重要參數如何影響RGEIFCs 的評價,並且提供如何實行風險管理的 方針。
    This research plan attempts to derive the pricing formulas for the relative guarantees embedded in financial contracts (RGEIFCs) under a Markov-modulated jump-diffusion model (MMJDM). Both rare events and time-inhomogeneity in the real market are incorporated in MMJDM simultaneously. As a result, pricing RGEIFCs under MMJDM should be more precise than under a simple geometric Brownian motion (GBM) model. The difference between pricing RGEIFCs under MMJDM and under a simple GBM will be analyzed. Calibration procedures will also be discussed in details for practical implementation. In addition, Monte-Carlo simulation will be provided to evaluate the accuracy and efficiency of the theoretical formulas. Scenario analysis will be carried out to discuss that how the primary parameters affect the prices of I RGEIFCs and guides to risk management will also be provided.
    显示于类别:[財務金融學系暨研究所] 研究報告

    文件中的档案:

    没有与此文件相关的档案.

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈