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    题名: HJM模型架構下評價附賣回條件公司債 : 台灣債券市場之實證研究
    其它题名: Under HJM framework pricing corporate bonds with put provision : empirical results in Taiwan market
    作者: 陳傑銘;Chen, Jie-ming
    贡献者: 淡江大學財務金融學系碩士班
    林允永;Lin, Yun-yung
    关键词: 利率期間結構;平滑;樹狀法;附賣回條件;Boostrapping Procedure;Cubic Spline;HJM model;Lattice approach
    日期: 2006
    上传时间: 2010-01-11 00:59:39 (UTC+8)
    摘要: 一般公司籌措資金,為了得到較低的資金成本,發行公司債是其中一個可行的方法。而且為了吸引更多投資者,通常會將資金成本鎖定在一定水準之下,發行附有一特別契約的公司債,而這些特別契約通常會隱含著選擇權價值。故如何利用理論模型來評價出此類公司債合理的價格,是值得研究發展的。
    然而,選擇良好的利率期間結構模型,會深切地影響到整個債券價格或其他利率請求權的評價過程。目前市場上評價利率商品的方法,有兩個主流,一個是以即期利率為基礎所發展的 Hull & White 模型;另一個則為本研究所欲探討的主題,以遠期利率為基礎所發展的Heath Jarrow & Morton 模型。它們都是建立在無套利機會的架構下所發展的。
    由於在Heath Jarrow & Morton(1992)原著中所提及的模型架構並不一定具有馬可夫特性。因此,在應用上不具有效率性。故本研究使用改良後的HJM模型,以期能在一定誤差下,加快模型運算的速度。在實際操作上,必須在期初遠期利率曲線已知下並且針對波動性函數加以設定後,才足以發展模型;在實證內容上,以台灣市場上2001年3月至2005年4月所流通的附賣回條件公司債,作為評價的標準;最後,再藉由一些常用的檢定方法,評估模型的表現。
    In order to acquire lower cost of capital, issuing corporate bonds is one of the feasible ways for many companies. To attract more investors, companies usually lock cost of capital under certain level and then issue corporate bonds with additional provisions. These provisions usually imply option value. Therefore, how we use theoretical models to evaluate these reasonable bond price is worth investigating.
    Model of the term structure of interest rates play an important role in the modern theory of pricing bonds and other interest-rate sensitive claims. Pricing method of these claims in the market at present time, there are two mainstreams-one is Hull-White model developed by foundation with the spot interest rate and the other is Heath-Jarrow-Morton model developed by foundation with the forward interest rate. They are both set up and developed under the structure without any arbitrage opportunity. Because the structure of HJM model in original is an non-Markov process at all, it is not efficient. This thesis used lattice approach to develop the HJM model. By using two sets of inputs, the forward interest-rate function and implied volatility specification, we can use this model to price puttable bonds. Finally, we compare the model price with actual price, that are found from 2001 to 2005, by using test approaches to measure the performance of the HJM model in pricing puttable bonds.
    显示于类别:[財務金融學系暨研究所] 學位論文

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