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The Valuation and Hedging of the Path-dependent and Path-independent Range Notes
No full text本文研究多因子Gaussian HJM利率模型架構下，利率區間債券(包含金字塔行債券及路徑相依債券)的評價原理與避險方法探討。本文推廣João Pedro Vidal Nunes (2003)多因子Gaussian HJM，在此一利率模型架構下，利用改變機率測度的方式，及運用零息債券價格之隨機過程推導遞延區間數位選擇權、遞延區間資產買權和界限數位選擇權，進而求出債券價格。再者，探討利率區間債券、金字塔行債券及路徑相依區間債券的應用與風險分析。金字塔型債券的債券利息收益並無固定型態，因此在定價與避險方面較為困難。但是，此一型式的債券一律可拆解成零息債券及一系列的遞延區間數位選擇權與遞延區間資產買權，然後針對此兩種選擇權進行定價與避險即可。至於評價路徑相依區間債券時，需要考慮其路徑關係，最後只能求得近似封閉解。而隱含於債券中的界限選擇權，亦可將其指標價格定義為公債到期報酬殖利率（即YTM），並且應用於債券市場，以利投資者進行避險，或是獲取更高的報酬。The main purposes of this paper are to value and to hedge the Path-dependent and Path-independent range notes. The first is to derive exact analytical valuation formulas for target redemption notes and range notes with double barrier of knock-out digital options in the context of a multi-factor Gaussian Heath, Jarrow, and Morton (1992) term structure model. The last is to find the best tools which exists in the derivatives markets and then we can use it to hedge or unwind the products (for example: target redemption notes and range notes with double barrier of knock-out digital options).
A target redemption note pays a floating, inverse floating, or fixed coupon rate at the end of each coupon period, based on the value of some reference interest rate (e.g. 6-month US Libor) in the beginning of each coupon period. However, a range note with double barrier of knock-out digital options, which belongs to a Path-dependent range note, pays a fixed coupon rate at the end of each compounding period, based on the value of the reference interest rate in the compounding period. And unlike a standard range note, the coupon also depends on the number of days that the reference interest rate all lies inside a corridor during each compounding period.
Next sections are organized as follows. Section 2 describes the most relevant probabilistic features of the multi-factor Gaussian HJM model that will be used hereafter. Section 3 introduces the Path-dependent and Path-independent range notes. Section 4 provides closed-form solutions for the exotic options that will be used to price non-standard range notes. Section 5 prices non-standard range notes and generalizes, under a multi-factor formulation. Then, section 6 discusses how to hedge these kinds of products. Finally, section 7 concludes.目錄
頁次
第一章 緒論--------------------------------------------1
第一節 研究背景----------------------------------------1
第二節 研究動機----------------------------------------6
第三節 研究目的----------------------------------------7
第四節 研究架構----------------------------------------8
第二章 文獻回顧---------------------------------------10
第一節 評價模型---------------------------------------13
第二節 遞延區間數位選擇權的評價-----------------------14
第三節 利率區間債券的評價-----------------------------17
第三章 結構性債券的介紹-------------------------------20
第一節 利率區間債券的介紹-----------------------------20
第二節 金字塔型債券的介紹-----------------------------25
第三節 路徑相依區間債券的介紹-------------------------29
第四章 新奇選擇權的評價-------------------------------32
第一節 遞延區間新奇數位選擇權-------------------------33
第二節 界限數位選擇權---------------------------------36
第五章 結構性債券的評價-------------------------------42
第一節 金字塔型債券的評價-----------------------------43
第二節 路徑相依區間債券的評價-------------------------44
第六章 敏感性分析與避險策略---------------------------46
第一節 金字塔型債券與新奇選擇權之敏感性分析-----------46
第二節 利率區間債券的風險分析與避險策略---------------52
第三節 金字塔型債券的風險分析與避險策略---------------56
第四節 路徑相依區間債券的風險分析與避險策略-----------59
第七章 結論-------------------------------------------62
參考文獻------------------------------------------------6
精神分裂病患家庭的生活經驗
No full text本研究的目的是以質性研究的觀點，深入探討四個精神分裂病患者的家庭，在居家護 理情境，進行子女參與的家庭護理治療過程中，家庭成員對生病衝擊所呈現的家庭生 活經驗。研究結果發現，病患家庭在治療過程中所呈現的生活經驗有六個主題：疏離 、家庭內在衝突、三角關係、迂迴三角、情感投入及互惠。本研究為配合病患回歸家 庭及社區之趨勢，提供護理人員進行居家照護時對病患家庭生活經驗的了解，進而提 供適當的家庭護理處置，以期使這些家庭能從疏離逐漸轉變為互惠的家庭互動型態。 This qualitative study explored the experience of four families living with schizophrenia patients. Family therapy, including children, was conducted in the outpatients' homes. The family members' reactions to the impact of the illness were analyzed by qualitative analysis. Six recurrent themes were identified: disengagement, intrafamilial conflict, triangulation, detouring triad, affective involvement and reciprocity. The findings of this study can increase the effectiveness of family intervention by mental health professionals working with schizophrenic out -patients and their families. Furthermore, these families can cope effectively by moving from disengagement to reciprocity
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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