政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49669
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 114401/145431 (79%)
造访人次 : 53108011      在线人数 : 814
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻
    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49669


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/49669


    题名: 連結匯率變動之利率衍生性商品相關研究
    Valuation of quanto interest rate derivatives in a cross-currency LIBOR market model
    作者: 周奇勳
    贡献者: 陳松男
    周奇勳
    关键词: 跨貨幣市場利率模型
    匯率連動利率交換
    匯率連動利率上限
    新奇匯率連動交換
    日期: 2009
    上传时间: 2010-12-08 16:21:00 (UTC+8)
    摘要: 在這篇論文裡，我們考量在跨貨幣經濟體系中的市場利率模型，除了本國利率，同時考慮外國利率與兩國匯率的變動過程。在這個架構之下，我們推導匯率連動利率衍生性商品的價格，此模型具有易於執行且參數估計容易的特點。
    參考文獻: Amin, K., Jarrow, R. A. (1991). "Pricing foreign currency options under stochastic interest rates," Journal of International Money and Finance, October, 301-329.
    Brace, A., Dun, T. A., Barton, G. (1998). "Towards a central interest rate model," FMMA notes working paper.
    Brace, A., Womersley, R. S. (2000). "Exact fit to the swaption volatility matrix using semidefinite programming," Paper presented at the ICBI Global Derivatives Conference.
    Brace, A., Gatarek D., Musiela, M. (1997). "The Market Model of Interest Rate Dynamics," Mathematical Finance 7, 127-155.
    Brace, A., Musiela, M. (1997). "Swap Derivatives in a Gaussian HJM Framework," Mathematics of Derivative Securities, M.A.H. Dempster, S. R. Pliska, eds. Cambridge University Press, Cambridge, 336-368.
    Brigo, D., Mercurio, F. (2006). Interest rate models: theory and practice. New York: Springer-Verlag.
    Chang, C. C., Chung, S. L., Yu, M. T. (2002). "Valuation and Hedging of Differential Swaps," Journal of Futures Markets, Jan, 73-94.
    Das, S. (1992a). "Differential Strip-Down," Risk, June, 65-72.
    Das, S. (1992b). "Differential Operators," Risk, July, 51-53.
    Heath, D., Jarrow, R. Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claim valuations. Econometrica,
    60(1), 77-105.
    Hull, J., White, A. (1990). "Pricing interest rate derivatives securities," Review of Financial Studies 3, 573-592.
    Jamshidan, F. (1993). "Price Differentials," RISK, 6, 7, 48-51.
    Jamshidan, F. (1994). "Hedging quantos, differential swaps and ratios," Applied Mathematical Finance, 1-20.
    Litzenberger, R. H. (1992). "Swaps: plain and fanciful," Journal of Finance, July, 831-850.
    Rebonato, R. (1999). On the simultaneous calibration of multifactor lognormal interest rate models
    to Black volatilities and to the correlation matrix. Journal of Computational Finance, 2, 5-27.
    Rogers, C. (1996). "Gaussian Errors," RISK 9, 42-45.
    Turnbull, S. (1993). "Pricing and Hedging Diff Swaps," Journal of Financial engineering, December, 297-333.
    Wei, J. (1994). "Valuing Differential Swaps," Journal of Derivatives, Spring, 64-76.
    Wu, T. P., Chen, S. N. (2007). "Cross-currency Equity Swap in the BGM Model," Journal of Derivatives, Winter, 60-76.
    描述: 博士
    國立政治大學
    金融研究所
    93352505
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0933525051
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    52505101.pdf432KbAdobe PDF21394检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈