政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/83326
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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/83326


    Title: 茂矽股價指數連動公司債之評價與分析
    Authors: 黃淑岑
    Contributors: 陳威光
    朱浩民
    黃淑岑
    Keywords: 股價指數連動公司債
    風險值
    茂矽
    蒙地卡羅模擬
    Date: 2000
    Issue Date: 2016-03-31 16:35:55 (UTC+8)
    Abstract: 股價指數連動債券是指本金或者利息支付的金額，與特定時間內某一個特定標的指數，如股價指數、股票價格等的漲跌有直接相關的債券。股價指數連動債券投資人，可以藉由購買這項產品得到固定收益，並且可以享受股票市場蓬勃發展的好處，增加投資報酬。在國外的金融市場，指數連動商品已經行之多年，國內未來指數連動商品有其發展之重要性與趨勢，對於此類商品的研究有其必要性。
    Reference: 中文文獻
    1. 薛立言、黃共揚，「股價指數連動債券的設計與評價」，大華債券期刊，民國88年7月，p14-29。
    2. 陳松男，「選擇權與期貨：衍生性商品理論與實務」，三民書局，民85。
    3. 台灣茂矽電子股份有限公司募集公司債公開說明書，民國88年3月30日刊印。
    英文文獻
    1. Conze, A., and Viswana,“Path Dependent Options The Case of Lookback Options”, Journal of Finance 1991, v46n5, Dec p.1893-1907
    2. Chen, K.C.,and R.S. Sears, ”Pricing the SPIN” , Financial Management 1990, v19n2, Summer p.36-47
    3. Chen, W.K., M.C. Chiang, and E. H. Chow, “An Ananlysis of the Capital Guaranteed Trust and Its Innovation in Taiwan” , Emerging Capital Markets , 1998 , P167-178
    4. Duan, J.C.,”Maximum Likelihood Estimation Using Price Data of the Derivative contract”, Mathematical Finance 1994, v4n2, Apr p.155-167
    5. Finnerty, J.D. , “Interpreting SIGNs”, Financial Management 1993, v22n2, Summer p. 34-47
    6. He H., W. P. Keirsted, and J. Rebholz, ”Double Lookbacks” , Mathematical Finance 1998, v8n3, Jul p. 201-228
    7. Hilliard, J., A. Schwartz, and A. Tucker,“Bivariate Binomial Options Pricing with Generalized Interest Rate Processes”, Journal of Financial Research 1996, v19n4, Winter p.585-602
    8. Nielsen, J. A., and K. Sandmann, “Equity-linked life insurance:A model with Stochastic interest rates” , Insurance: Mathematics & Economics 1995, v16n3, Jul p. 225-253
    9. Nonnenmacher,D. J., and J. Ruβ, ”Arithmetic averaging equity-linked life insurance policies” , Insurance: Mathematics & Economics 1999, v25n1, Sep 1, p.23-35
    10. Singh, M. K., “Value at Risk Using Principal Components Analysis For term structure-dependent securities and FX derivatives”, Journal of Portfolio Management 1997, v24n1, Fall p. 101-112
    11. Vasicek, O., “An equilibrium characterization of the term structure “, Journal of Financial Economics 1977, p. 177-188
    Description: 碩士
    國立政治大學
    金融研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002074
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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