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다양한 보간법을 이용한 구조화 채권의 평가와 헤지
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 구형건 | - |
| dc.contributor.author | 윤재현 | - |
| dc.date.accessioned | 2019-10-21T07:29:02Z | - |
| dc.date.available | 2019-10-21T07:29:02Z | - |
| dc.date.issued | 2017-02 | - |
| dc.identifier.other | 24799 | - |
| dc.identifier.uri | https://dspace.ajou.ac.kr/handle/2018.oak/18966 | - |
| dc.description | 학위논문(석사)--아주대학교 일반대학원 :금융공학과,2017. 2 | - |
| dc.description.tableofcontents | 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 | - |
| dc.language.iso | eng | - |
| dc.publisher | The Graduate School, Ajou University | - |
| dc.rights | 아주대학교 논문은 저작권에 의해 보호받습니다. | - |
| dc.title | 다양한 보간법을 이용한 구조화 채권의 평가와 헤지 | - |
| dc.title.alternative | Yun Jaehyun | - |
| dc.type | Thesis | - |
| dc.contributor.affiliation | 아주대학교 일반대학원 | - |
| dc.contributor.alternativeName | Yun Jaehyun | - |
| dc.contributor.department | 일반대학원 금융공학과 | - |
| dc.date.awarded | 2017. 2 | - |
| dc.description.degree | Master | - |
| dc.identifier.localId | 770351 | - |
| dc.identifier.url | http://dcoll.ajou.ac.kr:9080/dcollection/jsp/common/DcLoOrgPer.jsp?sItemId=000000024799 | - |
| dc.subject.keyword | Hull-White model | - |
| dc.subject.keyword | yield curve | - |
| dc.subject.keyword | 구조화 채권 | - |
| dc.subject.keyword | 보간법 | - |
| dc.description.alternativeAbstract | 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. | - |
- Appears in Collections:
- Graduate School of Ajou University > Department of Financial Engineering > 3. Theses(Master)
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