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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85601


    Title: 一般化差額互換之評價與避險
    The Pricing and Hedging of a Generalized Differential Swaps
    Authors: 歐陽傑
    Chieh, Ou-Yang
    Contributors: 陳松男
    Son-Nan Chen
    歐陽傑
    Chieh Ou-Yang
    Keywords: 差額互換
    利率互換
    衍生性金融商品
    differential swaps
    interest rate swaps
    financial derivatives
    Date: 2002
    Issue Date: 2016-04-20 11:11:55 (UTC+8)
    Abstract: 差額互換是一種能提供投資人在不直接引起匯率風險的情況下，參與他國貨幣市場，以增加投資收益及降低資金成本的新金融商品。依照支付與計價貨幣的不同，可分為以本國貨幣、外國貨幣以及第三國貨幣為支付與計價貨幣三種不同的型態。由於Wei(1994)、唐英傑(1997)的定價模型僅評價出上述前兩種型態的差額互換，本研究的主要目的即為延續Wei(1994)的定價方法，評價出最一般化的差額互換，即本國與外國利率交換而以第三國貨幣為支付貨幣的差額互換，並且證明上述的兩種差額互換為此一般化差額互換的特例。三種差額互換詳細的評價過程均附於附錄，提供有興趣的讀者參考。
    Reference: 1.Arnold,L.,"Stochastic differential equations : theory and
    applications", New York : Wiley, 1974
    2.Coopers&Lybrand,"Currency swaps : a self-study guide to
    mastering and applying currency swaps", Chicago, Ill. :
    Probus Pub., c1992
    3.Das,S. , "Differential Strip Down" ,Risk,June1992, pp.65-72.
    4.Das,S. , "Differential Operator" ,Risk,July1992,pp.51-53.
    5.Das, Styajit ,"Swaps and financial derivatives : the global
    reference to products,pricing, applications and markets"
    London : IFR Publishing, 1994
    6.James,M.S., "Using Differential Swaps",Corporate
    cashflow,February1993,Vol14/part2
    7.Jamshidian, F. "Price Differentials." Risk,July 1993,
    pp. 48- 51.
    8.Litzenberger,RobertH., "Swaps：Plain and Fanciful",Journal of
    Finance, July1992 ,pp.831-850.
    9.Robinson,D., "Diff Swaps Tempt the Wary",Euromoney, October
    1991,pp.10-11.
    10.Turnbull,S.,"Pricing and Hedging Diff Swaps", Journal of
    Financial Engineering, December1993,pp.297-333.
    11.Wei.J., "Streams of Consequence",Risk, January 1994,
    pp.42-44.
    12.Wei.J., "Valuing Differential Swaps",Journal of
    Derivatives,Spring1994,pp.64-76.

    13.唐英傑 "差額互換之訂價與避險" 中央財務管理研究所1997
    14.張智星 "Matlab程式設計與應用"清蔚科技2000
    Description: 碩士
    國立政治大學
    金融研究所
    88352001
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002000272
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

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