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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31182


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    題名: 股權擔保債權憑證之研究:因子模型的延伸
    The Pricing and Hedging of Equity Collateralized Debt Obligations (ECDOs): Using an Autonomous Factor Copulae Model
    作者: 周政偉
    Jheng Wei,Jhou
    貢獻者: 江彌修
    Mi Hisu,Chiang
    周政偉
    Jheng Wei,Jhou
    關鍵詞: 無
    日期: 2006
    上傳時間: 2009-09-14 09:29:22 (UTC+8)
    摘要: 無
    參考文獻: Albanese, C. and O. Chen (2005), “Pricing equity default swaps”, Risk, 18(6), 83–87.
    Christian Bluhm, Ludger Overbeck and Christoph Wagne (2003), An Introduction to CREDIT RISK MODELING, CHAPMAN &
    HALL/CRC.
    David X. Li (2000), “On Default Correlation: A Copula
    Function Approach”, The Journal of Fixed Income, 9(4), 43–54.
    Hull, J. and A. White (2004), “Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation”, Journal of Derivatives, 12(2),8–24.
    Medova, E. and R. Smith (2006), “A structural approach to EDS pricing”, Risk, 19(4), 84–88.
    Musiela, M. and M. Rutkowski (2004), Martingale methods in financial modelling, Springer-Verlag, second edition.
    Satyajit Das (2005), CREDIT DERIVATIVES CDOs AND STRUCTURED
    CREDIT PRODUCTS, John Wiley and Sons, third edition.
    描述: 碩士
    國立政治大學
    金融研究所
    94352012
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094352012
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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