원문정보
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초록
영어
In this paper, we ¯nd analytic formulas for range accrual notes and spread range accrual notes in the context of the a±ne term structure model. Two important implications related to market risk management are derived: Firstly, the hedging strategy for range accrual notes may signi¯cantly depend on the choice of the underlying interest rate model. Secondly, the ambiguity of the correlation between underlying interest rates of spread range accrual notes can give a big difficulty to the traders and risk managers on valuing them.
목차
ABSTRACT
1 Introduction
2 The A±ne Term Structure Model
3 Range Accrual Notes
3.1 Fixed Range Accrual Notes
3.2 Floating Range Accrual Notes
4 Spread Range Accrual Notes
5 Implications
5.1 Model choice and hedging strategies
5.2 The correlation effect on SRANs
6 Conclusion
Appendix
References
1 Introduction
2 The A±ne Term Structure Model
3 Range Accrual Notes
3.1 Fixed Range Accrual Notes
3.2 Floating Range Accrual Notes
4 Spread Range Accrual Notes
5 Implications
5.1 Model choice and hedging strategies
5.2 The correlation effect on SRANs
6 Conclusion
Appendix
References