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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49669


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    題名: 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
    貢獻者: 陳松男
    周奇勳
    關鍵詞: 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
    上傳時間: 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
    資料類型: thesis
    顯示於類別:[金融學系] 學位論文

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