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博碩士論文 etd-0618109-114907 詳細資訊
Title page for etd-0618109-114907
論文名稱
Title
系統跳躍風險下抗通膨證券之評價:以美國TIPS市場為例
The Valuation of Inflation-Protected Securities in Systematic Jump Risk:Evidence in American TIPS Market
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
59
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2009-06-10
繳交日期
Date of Submission
2009-06-18
關鍵字
Keywords
Jarrow and Yildirim模型、系統性跳躍風險、跳躍擴散模型、TIPS債券TIPS債券選擇權、Esscher transformation
Jarrow and Yildirim model, Systematic Jump Risk, Jump Diffusion Model, TIPS, TIPS European Call Option, Esscher Transformation
統計
Statistics
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The thesis/dissertation has been browsed 5709 times, has been downloaded 9 times.
中文摘要
過去有許多文獻探討跳躍擴散模型於財務上之應用,大多文獻都假設此跳躍風險是可被分散之個別風險,可是經由Kim, Oh, and Brooks (1994) 實證發現,市場上存在可被分散的風險之外,同時也存在不可被分散之系統性風險。本文是以Jarrow and Yildirim (2000) 推導之模型為基礎,再加入跳躍擴散模型來評價TIPS債券及TIPS債券選擇權之價格。此外,本文假設此跳躍風險是不可被分散之系統性風險,並運用Esscher transformation將實際測度轉到風險中立機率測度下,借此找出系統性風險所貢獻之風險溢酬,希望在評價TIPS債券及TIPS債券選擇權時能使用更精確的模型獲得更精確之價格。本文亦利用TIPS債券之市場價格以及其殖利率指數,運用Barndorff-Nielsen and Shephard (2004) 提出之方法分別計算出TIPS債券殖利率與TIPS債券報酬率之連續性變動風險以及報酬率跳躍性變動風險,並各別計算其對價格變化所佔之比例。之後本文運用Dunham and Friesen (2008) 提出之方法區分出系統性跳躍風險與系統性連續變動風險對個別TIPS債券價格變化所造成之影響。最後,運用數值方法分析跳躍風險之各參數變化時TIPS債券選擇權價格之反應。
Abstract
Most of the derivative pricing models are developed in the jump diffusion models, and many literatures assume those jumps are diversifiable. However, we find many risk cannot be avoided through diversification. In this paper, we extend the Jarrow and Yildirim model to consider the existence of systematic jump risk in nominal interest rate, real interest rate and inflation rate to derive the no-arbitrage condition by using Esscher transformation. In addition, this study also derives the value of TIPS and TIPS European call option. Furthermore, we use the econometric theory to decompose TIPS market price volatility into a continuous component and a jump component. We find the jump component contribute most of the TIPS market price volatility. In addition, we also use the TIPS yield index to obtain the systematic jump component and systematic continuous component to find the systematic jump beta and the systematic continuous beta. The results show that the TIPS with shorter time to maturity are more vulnerable to systematic jump risk. In contrast, the individual TIPS with shorter time to maturity is more vulnerable to systematic jump. Finally, the sensitive analysis is conducted to detect the impacts of jumps risk on the value of TIPS European call option.
目次 Table of Contents
Abstract 5
I. Introduction 6
II. Literature Review 11
1. Interest Rate Model 11
2. Jump Diffusion Model 12
3. Systematic Risks 13
III. Valuation of Inflation Derivatives 15
3.1 Jarrow-Yildirim Model with Systematic Jump Risk 16
3.2 Valuation of Treasury Inflation-Protected Securities 19
3.3 Valuation of TIPS European Call Option 21
IV. Empirical Result and Sensitivity Analysis 23
4.1 Empirical methodology 23
4.2 Data Description 25
4.3 Empirical Properties of the Data 26
4.4 Systematic Jump Risks in Individual TIPS 29
4.5 Empirical Result 30
4.6 Sensitivity Analysis 34
V. Conclusion 37
References 38
Appendix A 40
Appendix B 53
參考文獻 References
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