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    题名: 美國FED二階段升息對利率交換契約凸性偏誤之實證
    作者: 王建華
    贡献者: 沈中華
    王建華
    关键词: 利率交換契約
    歐洲美元期貨
    凸性偏誤
    美國聯邦準備理事會
    interest rate swap
    Eurodollar futures
    convexity bias
    FED
    日期: 2000
    上传时间: 2016-03-31 16:35:59 (UTC+8)
    摘要: 「凸性偏誤」（Convexity Bias），非債券的「凸性因子」（Convexity），來自利率非平行變動對債券價格的影響。對利率交換契約而言，有其特殊意義。是指利用一連串到期日連續的期貨契約，作為評價利率交換契約的模型，卻因為在期貨契約到期前，其隱含利率並不等於遠期利率的情況下，採用未經修正過的模型，將錯誤估算交換契約的價格。而此偏誤值因隨著到期日的增加，或利率的波動增高而逐漸擴大，呈曲線特性，故稱之為「凸性偏誤」（Convexity Bias）。
    參考文獻: 中文部分：
    錢川田 ,“遠期利率契約、利率期貨與利率交換交易之套利與互動關係” , 東吳大學經濟研究所碩士論文 , 民國88年6月
    鄭秉弘 , “歐洲美元期貨對利率交換契約定價與避險之研究” , 淡江大學財務金融研究所碩士論文 , 民國88年6月
    英文部分：
    Bansal , Vipul K. , Ellis , M.E. , and Marshall , John F. ,“ The Pricing of Short-Dated and Forward Interest Rate Swaps”, Financial Analysts Journal, March/April 1993 p82-p87
    Bicksler , J. ,and Chen Andrew H. , “ An Economic Analysis of Interest Rate Swaps ” , Journal of Financial , July 1986 , p645-p655
    Burghardt ,G. , Belton ,T. , Lane ,M. , Luce ,G. , and McVey,R. “ Eurodollar Futures and Options ” , Probus Publishing Company , 1991
    Burghardt ,G. and Hoskins ,B. “ The Convexity Bias in Eurodollar Futures ”,The Handbook of Derivative Instrument , 1994 , p81-p120
    Coopers , and Lybrand , “ Interest Rate Swaps ” , Probus Publishing Company , 1992
    Cox , Jone C. , Ingersoll , Jonathan E. ,and Ross , Stephen A. “ The Relation Between Forward Prices and Futures Prices” , Journal of Financial Economics , 1981 , P321-p346
    Das , S. , “ Swap & Derivative Financing ” , Probus Publishing Company , 1994
    Gregory , Deborah W. , and Livingston , M. , “ Development of the Market for U.S. Treasury STRIPS ” , Financial Analysts Journal , March/April 1992 p68-p74
    Grinblatt , M. , and Narasimhan , J. , “ Relative Pricing of Eurodollar Futures and Forward Contracts ”, Journal of Finance 51, 1996 p1499-p1522
    Gupta , A. , and Subrahmanyam , Marti G. “ An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps ” , Working Paper , 1999
    Hull , John C. , “Options , Futures ,and Other Derivatives Securities ”, Prentice Hall , 2nd
    Kawaller ,Ira G. , “ Interest Rate Swaps versus Eurodollar Strips ”, Financial Analysts Journal , September/October 1989 p55-p62“ Comparing Eurodollar Strips to Interest Rate Swaps ”, Journal of Derivatives , Fall 1994 p67-p79
    Meulbroek ,L. , “ A Comparison of Forward and Futures Prices of an Interest Rate-sensitive Financial Asset ” , Journal of Finance , 1992 , p381-p396
    Minton , Bernadette A. , “ An Empirical Examination of Basic Valuation Models for Plian Vanilla U.S. Interest Rate S swaps” , Journal of Financial Economics , 1997 , P251-p277
    Saber ,N.,“ Interest Rate Swap “ , Richard D .Irwin ,Inc. , 1994
    Smith , C.W. , Smithson , C.W. , and Wakeman , L.M. , “ The Market for Interest Rate Swaps ” , Finance Management , Winter 1988 , p34-p44
    Smith , David R. , “ By the Bootstraps ”,Risk , June ,Vol3/No 6 , 1990 p40-p42 “ Techniques for Deriving a Zero Coupon Curve for Pricing Interest Rate Swaps : a Simplified Approach ”,1994 p417-p451
    Sundaresan , S. , “ Valuation of Swaps ” , 1991 , Recent Developments in International Banking and finance 4 and 5 , p407-p440
    Turnbull , Stuart M. , “ Swaps: a Zero Sum Games? ” , Financial Management , Spring , 1987
    描述: 碩士
    國立政治大學
    金融研究所
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002002075
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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