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다양한 보간법을 이용한 구조화 채권의 평가와 헤지
- Alternative Title
- Yun Jaehyun
- Author(s)
- 윤재현
- Alternative Author(s)
- Yun Jaehyun
- Advisor
- 구형건
- Department
- 일반대학원 금융공학과
- Publisher
- The Graduate School, Ajou University
- Publication Year
- 2017-02
- Language
- eng
- Keyword
- Hull-White model; yield curve; 구조화 채권; 보간법
- Alternative Abstract
- 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.
- Fulltext
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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