다양한 보간법을 이용한 구조화 채권의 평가와 헤지
Pricing and Hedging of Structured notes using various Interpolation methods
- 주제(키워드) Hull-White model , yield curve , 구조화 채권 , 보간법
- 발행기관 아주대학교
- 지도교수 구형건
- 발행년도 2017
- 학위수여년월 2017. 2
- 학위명 석사
- 학과 및 전공 일반대학원 금융공학과
- 실제URI http://www.dcollection.net/handler/ajou/000000024799
- 본문언어 영어
- 저작권 아주대학교 논문은 저작권에 의해 보호받습니다.
초록/요약
This study aims to find the interpolation methods to construct a yield curve. In this paper, first, we construct the yield curve using three methods: the piecewise linear interpolation, cubic spline interpolation, and the monotone convex method. Second, we evaluate the structured notes, which contain the Bermudan call option, through the Hull-White model and the least square Monte-Carlo method. According to the simulation results, the hedge performance is contingent on how a yield curve is interpolated. This study, thus, suggests that one needs to choose an interpolation method carefully by comparing the methods in different settings to find the one, which can improve the hedge performance.
more목차
1 Introduction 1
2 Structured Notes 3
2.1 Introduction 3
2.2 Pricing of Structured Notes 5
2.2.1 Hull-White model 5
2.2.2 Least-Squares Monte-Carlo method 13
3 Interpolation Methods for Yield Curve 14
3.1 Introduction 14
3.2 Interpolation Methods 15
3.2.1 Piecewise linear interpolation 15
3.2.2 Cubic spline interpolation 16
3.2.3 Monotone convex method 16
3.3 Comparison of Interpolation Results 20
4 Numerical Results 23
5 Conclusion 31
References 33
