政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/113069
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 114401/145431 (79%)
造訪人次 : 53120894      線上人數 : 780
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋
    政大機構典藏 > 商學院 > 金融學系 > 期刊論文 >  Item 140.119/113069


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/113069


    題名: Pricing Range Accrual Interest Rate Swap employing LIBOR market models with jump risks
    作者: 林士貴
    Lin, Shih-Kuei
    Wang, Shin-Yun
    Chen, Carl R.
    Xu, Lian-Wen
    貢獻者: 金融系
    關鍵詞: Stochastic model in continuous time interest rate;LIBOR market modelJump risks;Range Accrual Interest Rate Swap (RAIRS)
    日期: 2017-11
    上傳時間: 2017-09-18 15:40:32 (UTC+8)
    摘要: This research derives the LIBOR market model with jump risks, assuming that interest rates follow a continuous time path and tend to jump in response to sudden economic shocks. We then use the LIBOR model with jump risk to price a Range Accrual Interest Rate Swap (RAIRS). Given that the multiple jump processes are independent, we employ numerical analysis to further demonstrate the influence of jump size, jump volatility, and jump frequency on the pricing of RAIRS. Our results show a negative relation between jump size, jump frequency, and the swap rate of RAIRS, but a positive relation between jump volatility and the swap rate of RAIRS.
    關聯: North American Journal of Economics and Finance, Volume 42, Pages 359-373
    資料類型: article
    DOI 連結: https://doi.org/10.1016/j.najef.2017.07.018
    DOI: 10.1016/j.najef.2017.07.018
    顯示於類別:[金融學系] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    373.pdf684KbAdobe PDF2566檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    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 ©   - 回饋