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  • 學位論文

單因子Heath-Jarrow-Morton模型隱含參數之估計~T-Bill分析

指導教授 : 賀蘭芝
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摘要


摘要 本研究的重點在於估計HJM模型的隱含參數及衡量模型的有效性。 在估計參數方面,主要問題發生於遠期債券定價公式中存在隨機項。不過在Musiela, Turnbull and Wakeman(1993)及Jarrow and Turnbull(1994),推導出定價公式的封閉解後,我們可利用其定價公式來估計其中的參數,解決隨機項處理的問題。估計HJM模型隱含參數的實證方法為常應用於一般均衡模型之實證方法,且該隱含參數隨時間與到期日不同而不同。 本研究另一重點在於檢驗HJM模型的有效性,衡量模型之有效性在於評估HJM估計參數是否適當,本研究利用HJM模型所估計參數來作避險理,並以傳統的Modified Macaulay Duration避險策略來作避險效果的比較。 本研究所得的實證結果簡述如下,在推估參數方面,我們發現,採用Difference model實證模型,以第二組工具所得的參數估計值較好, 我們發現其所得到的參數值,λ值、σ2值,不僅隨到期日不同而不同, 亦隨時間作變動。而在避險效果方面,利用HJM模型估出之參數所從 事的避險,與傳統Macaulay Duration的避險方法來比較,發現在採靜態 避險方面,HJM模型的避險效果優於傳統 Macaulay Duration避險方法。 若採動態避險,則兩方法都使避險投資組合值很接近於零,亦即避險得 很好。所以,若採動態避險方面,兩方法的避險效果所差無幾。 關鍵字:HJM模型、GMM法、避險。

關鍵字

HJM模型 GMM法 避險

並列摘要


ABSTRCT Our main motivation is to estimate implied parameters of the HJM model and test the effectiveness of their model. The estimating problem associated with the HJM model is that there is a stochastic term in the forward bond price formula. Musiela, Turnbull and Wakeman (1993) and the following study by Jarrow and Turnbull (1994) derive closed-form solutions for bonds and their associated derivatives. Therefore, it is easier to estimate the parameters for us. In order to estimate the parameters implied HJM model, we use the bond price formula with the closed-form solutions to conduct the empirical systems .Our estimation technique uses the generalized method of moments (GMM). To test the effectiveness of their model ,the standard deviation of the returns of the portfolio is used as the measure of hedging effectiveness. The lower the standard deviation, the better is the performance. The hedging effectiveness between delta hedge and modified Macaulay duration is compared. Key word:HJM,GMM,Hedge

並列關鍵字

HJM GMM Hedge

參考文獻


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