結構型商品之創新、評價與分析

陳羿汝(Yi-Ru Chen)

指導教授 ： 傅承德

國立中央大學/理學院/統計研究所/碩士(2015年)

摘要

TMU(Treasury Marketing Unit)是金融相關機構的財務行銷部門，是專門利用金融商品，例如：債券、外匯、衍生性金融商品…等，來進行獲利或避險的部門。金融商品交易行銷(TMU)部門主要工作是在銀行的財務部或交易室，負責為客戶承作衍生性金融商品的投資，因此TMU承作人員不僅需了解衍生性金融商品的產品結構、風險來源以外，也必需具備產品評價模型技術、設計各種不同金融商品…等技術。

因此，本論文利用市場上所發行的結構型商品「持盈保泰」進行分析，而我們將運用幾何布朗運動 (Geometric Brownian Motion) 及雙重指數跳躍擴散模型 (Double Exponential Jump-Diffusion Model)，利用蒙地卡羅模擬方法 (Monte Carlo Simulation Method)，依照商品條款設計的內容來進行模擬評價、敏感性分析；最後改造「持盈保泰」此產品，以期達到投資人與券商雙贏的局面。

關鍵字

幾何布朗運動 ； 雙重指數跳躍擴散模型

並列摘要

Treasury Marketing Unit is a marketing department in financial institution which uses financial products to gain profit and hedge risks. TMU is mainly responsible for investing by financial derivatives for their clients. As a result, person work in TMU must have not only the understanding of the product structure and risks sources for financial derivatives, but also the ability of pricing and designing different financial products. In hence, this thesis took structured products as an analysis target. We used Geometric Brownian Motion and Double Exponential Jump-Diffusion with Monte Carlo Simulation Method to do pricing simulation and sensitivity analysis for different products. At last, we restructure this target product to create a win-win situation for both investors and broker-dealers.

並列關鍵字

Geometric Brownian Motion ； Double Exponential Jump-Diffusion Model

參考文獻

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