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台灣衍生性金融商品定價、避險與套利文獻回顧與展望
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1. Interest rate derivatives: the pricing of High-yield notes; the valuation of general types of
interest rate swaps; the pricing of interest rate cap agreements; the determination of
interest rate swaps (IRS) spreads; the pricing of Taiwan’s treasury bond futures with
quality options; the valuation of quanto interest rate exchange options; pricing the
average interest rate call options; valuing quanto average interest rate options in a
lognormal interest rate market model; and the valuation of Asian interest rate options
within the BGM model.
2. Currency and Cross-currency derivatives: the valuation of equity swaps and swaptions;
pricing quanto Forward-start Asian options; and the valuation of quanto derivatives under
the Bi-variate GARCH model.
3. Credit derivatives: the valuation of covered warrants under default risk; pricing credit
default swaps (CDS) under counterparty risk; the valuation of European vulnerable
options; and the prediction of default risk using the barrier option valuation approach.
4. Weather derivatives: pricing weather derivatives in an incomplete market; the valuation
of catastrophe futures call options, catastrophe PCS call spreads, and catastrophe bonds in
Markov jump diffusion models; the valuation of hurricane derivatives in a warming
environment; and the pricing of precipitation options.
5. Others: the valuation of Mortgage-backed securities (MBS) under prepayment risk and
default risk; the valuation of a participating policy containing a surrender option; pricing
variable life insurance; pricing the option embedded in a defined benefit pension plan; the
valuation of rate of return guarantees under a defined contribution pension plan; pricing
deposit insurance under regulatory forbearance; and the valuation of survivor swaps.
We next review the types of derivatives priced in Taiwan as follows:
1. Forward and futures: the pricing of currency futures under an incomplete market; the
derivation of intertemporal futures pricing formulae; the determination of initial margins
of futures contracts; and the pricing of agricultural futures.
2. Path-dependent derivatives: pricing barrier options under the stochastic volatility model;
the pricing and static hedging of barrier options and lookback options; the valuation of
American average strike options using the binomial tree method; pricing Asian options
under the geometric compound Poisson process.
3. Design and the block building of exotic derivatives: the design and pricing of American
discrete barrier options with a stochastic rebate; the design of rebate options; the design
and pricing of reset options; and the decomposition of convertible bond asset swaps.