English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110941/141868 (78%)
Visitors : 47438247      Online Users : 1095
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/88985
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/88985


    Title: 財務工程在金融創新上的應用--利率交換期貨與利率交換期貨選擇權之探討
    An Application of Financial Enigneering on Interest Rate Swap Futures and Options on Interest Rate Swap Futures
    Authors: 陳鵬仁
    Chen, Peng Jen
    Contributors: 黃達業
    Hwang, Dar Yeh
    陳鵬仁
    Chen, Peng Jen
    Keywords: 期貨
    選擇權
    交換交易
    futures
    options
    swap
    Date: 1993
    Issue Date: 2016-04-29 16:42:29 (UTC+8)
    Abstract: 財務工程的主要目的,在於將金融工具與金融市場上所發生的問題,予以
    Financial Engineering, which solves the problems in the fin-
    Reference: 中文部份:
    于政長,"金融市場的投資與避險",台灣經濟金融月刊,民國七十九
    年七月, Vol.26, pp.1- l3 。
    李文宗,"期貨式選擇權之定價模式",國立台灣大學商學研究所未出
    版碩士論文,民國八十年六月。
    李宗愷,"外匯選擇權定價模式之實證研究",國立政治大學國際貿易
    研究所未出版碩士論文,民國七十九年七月。
    李麗,金融交換實務,台北:三民書局,民國七十八年四月。
    何憲章,國際財務管理理論與實務,台北:新陸書局,民國八十年八
    月。
    俞海琴,"利率決定理論之回顧與檢討",台灣經濟金融月刊,民國八
    十年三月, pp. :35-50 。
    許誠洲,”財務工程概論”,台灣經濟金融月刊,民國八十年五月,
    pp.18-24。
    ----------,"金融建構原理一財務工程的組合技術"台灣經濟金融月刊,
    民國八十年十二月, pp.37 -50。
    黃志典"金融創新與金融管理" , 1992 年銀行管裡研討會。
    黃達業,"銀行帳外資產負債管理之新要角-交換交易選擇權(Swap
    Options) 的評價探討", 1992 年銀行管理研討會。
    ----------,"利率交換交易選擇權的理論與應用;>台北銀行月刊,第二十
    四卷第二期,民國八十二年二月, pp.lO-:30 0
    ----------,"九0年代財務管理教育的新領域一財務工程與金融創新之探
    討",第五屆中華民國管理教育研討會,民國八十二年五月。
    ----------,"交換市場的金融研發創新對銀行產業風險管理科技的影響"
    1993 年產業科技研究發展管理研討會,民國八十二年六月。
    解立亞,"金融創新,自由化與貨幣政策",台灣經濟金融月刊,民國
    八十年一月, p p. 15 -23。
    楊俊雄,"全球換匯市場探討"台灣經濟金融月刊,民國八十年十一
    月, pp.15-17。
    劉宗宜,"外匯期貨選擇權定價模式之理論與實證研究",國立台灣大
    學商學研究所未出版碩士論文,民國八十年六月。
    劉壽祥、吳年恭,"利率期貨的發展與投資策略",證券市場發展季刊
    ,民國八十二年二月,pp.79 。
    趙國楨,"金融新種產品-資產交換之介紹",台北市銀月刊,第二十
    一卷第十期,pp.4 9- 54 。
    鄭適薰,"期貨市場特性與避險策略之研究←圈際金融期貨之實證研
    究",國立政治大學國際貿易研究所未出版碩士論文,民國七十九
    年七月。
    羅際禎,"債券期貨規避利率風險之研究",國立政治大學企管研究所
    未出版碩士論文,民國八十一年六月。



    Abdullab A. Fuacl, Bean 1. Virginia) ., At Last , cl Swaps Primer`), Financia.l
    Executive, (July/August 1988).
    Arak Marcelle, Estrella Arture, Goodman Laurie and Silver Anclww, :1 Interest
    Rate Swaps: An Alternative Explanation", Financial Management, (SU111-
    Iller 1988). pp.12-18
    Barone-Adesi Giovanni and Vihaley E. Robert , " Efficient Analytic Approximation
    of American Option Values", The Journal of Finance, Vol.XLII. (.Jull.
    1987). pp.30 1-:320.
    Bhattacharya A.K ., "Synthetic Asset Swaps" , Journal of Portfolio ivlallagement,
    Fall 1990. pp.56-64.
    Bicksler James and Andrew H. Chen, "An Economic Analysis of Interest Rate
    Swaps", Journal of Finance, Vol.XLI. No.:3, (July 1986) . pp.645-655.
    Bierman Harold Jr., "Accounting for Interest Rate Swaps", Journal of Accounting
    & Finance, i987. pp.:386-408 .
    Blake David , " Debt-Equity Swaps as Bond Conversions: Implications for Pricing",
    Journal of Banking and Finance. Vo1.1 ~)` 1991. pp.29-41.
    Black Fischer, "The Pricing of Commodity Contracts", Journal of Financial
    Economics, (Sep.1976). pp.167-179.
    --, Golelman , Sacbs &; Co, "How to Use The Holes in Black-Schole::;" , Journal
    of Applied Corporate Finance, (\\Vinter, 1989), pp.67-7:3.
    Black Fischer and SchQles Myro`.l, "The Pricing of Options and Corporate Liabilities",
    Journal of Political Economy,` 197:3 pp.G:3`7-G59.
    Block B. Stanley and Gallagher .J. Timothy, "The Use of Interest Rate Futures.
    and Options by Corporate Financial :\\,Ianagers", Financial Management,
    (Autumn 1986). pp. 7:3-79.
    Boyle P. Phelilll, `) A Lattice Framework for Option with Two State Variables:`,
    .Journal of Financial and Quanti tative Analysis, Vo1.23. N 0.1. UvIaL 1 988).
    pp. 1- 1`~).
    Brenner Menachelll, Courtacloll Georges ane! Subrahalllanyalll lvlarti, "Options
    on the Spot and Options OIl FuturesD
    , The Journal of Finance, VoI.XL.
    No.5. (Dec.19S5). pp.1303-1:340.
    Briys Eric, Cronby Michel and Schobel Rainer, "The Pricing of Default-free Interest
    Rate Caps, Floors, and Collar Agreements", The Journal of Finance,
    Vol. XLV I. (Dec.1991). pp.1879-1892.
    Brown C. Keith and Smith J. Donald, :`Recent Innovations in Interest Rate
    Risk i`vIanagement and the Reintermecliation of COlllmercial Banking" , Financial
    Management, (\\\\linter 1988). pp.4;`5-58 .
    )) Forward Swaps, Swap Options and t.he :tvIanagement of Callable Debt",
    Jourllal of Applied Corporate Finance, (v\\iinter, 1990). pp.59-71.
    CBOT, The Referellce Guide of Swap Futures, 1991. pp.1-67.
    Cornell Bradford and Reinganum Marc R. ; "Forward a,nel Futures Prices: Eviclence
    from the Foreigll Exchange \\Iarkets", The J oUfnal of Finance,
    Vol.XXXVL. No.12. (Dec.1981) . pp.1O:3tS-l045.
    Cox C. John, Ross A. Stephen (l,ue! Rubinstein :`->`i(l,rk, "Option Pricillg: A Simplifiecl
    Approach" , Journal of Financi(l,j Economics , Vo1.7. 1979. pp.229-
    26:3.
    ---------, CLnd Ingersoll E. Jonathan .Jr. "The Relation Between
    Forward Prices and Futures Prices" , Journal of Financial Economics, Vol.9.
    1981. pp.321-:345.
    Dar-Yeh Hwang, Jyh-Bang .lou, and Tsai-Huei Lin, "Tests of rdarket Efficiency
    and Measures of Hedging Effectiveness for the Currency Futures Options
    Markets", Conference Paper of The Fourth Annual Asia-Pacific Futures
    Research Symposiulll, 1993.
    Finnerty D. John, "Financial Engineering in Coporate Finance: An Overview" ,
    Financial Management, ("Vinter 19(8 ). pp.14-T3.
    Flesaker Bjorn, ; Arbitrage Free Pricing of Interest Rate Futures and Forward
    Contracts", Journal of Futures Market, Vol. 1:3. Feb. 199:3. pp.77-91.
    Frank and John N. " "\\illy Some People Are Afraid of Futures and Options" J
    Financial Management Statement , VoL 1 O. (Ivlar. 1988). pp .4;3- `17.
    Gary C. Ramesh, "Reducing Third-"Vorle! Debt with Tailor - Made Swaps",
    The Bankers Magazine, (Sep.jOct. 1992). pp.52-S(.
    Gary Gavin , "Swaps Markets Stall" : Corporate Finance, No.i:3. (Dec.1990).
    pp.l:3-18.
    "Growing P ains of Comlllodity .Swaps" , Corpora te Finance, No.76. (IVfar.
    1991). pp.9-13.
    ;`Timing the Swap as Ra tes Peak". CorporatE` Finance. No.77. (Apr.
    1991) . pp .11-l:3.

    Gentry A. James, “State of the Art of Short-Run Financial Management”, Financial Management, (Summer 1988). Pp.41-57.

    Geske Robert, “The Valuation of Commpound Options”, Journal of Financial Economics, Vol.7. 1979. pp.63-81.

    Hull John, Introduction to Futures and Options Markets. N.J. Prentice-Hall Inc. 1991.

    -- and Alan White, “The Pricing of Options on Assets with Stochasitc Volatilies”, The Journal of Finance, Vol.XSLII. (Jun.1987). pp.281-299.

    -- “The Use of the Contral Variate Technique in Option Pricing”, J. of Financial and Quantitative Analysis. Vol.23. No.3. (Sep.1988). pp.237-251.
    -- “Valuation Derivative Securities Using the Explicit Finite Difference Method”, Journal of Financial and Quantitative, Vol.25. No1.(Mar.1990). pp.87-100.

    Jabbour M. George and Sachlis J. Minor, “Hedging Risk on Futures Contracts under Stochastic Interest Rate”. Journal of Futures Market, Vol.13. Feb. 1993. Pp55-60.
    Jarrow A. Rober and Oldfield Georges, “Forward Contracts and Futures Con-tracts”, Journal of Financial Economics, Vol.9. 1981. Pp373-382.

    Klemkosy C. Robert and Resnick G. Bruce, “Put-Call Parity and Market Effi-ciency”, The Journal of Finance, Vol.XXXIV No5. (Dec.1979). pp.1141-1155.

    Kane J. Edward, “Market Inconpletences and Divergence Between Forward and Futures Interest Rates”, The Journal of Finance, Vol.XXXV. No.2. (May,1980). Pp.221-234.

    Kapper R. Kennth, “A Comparison of Futures and Forward Price”, Journal of Financial Economics, Vol.12. pp.311-342.

    -- and Marshall F. John, “The Pricing of Swaps”, The Financial Derivatives Reader, Edit by Rboert W. Kolb, 1992. Pp.301-332.

    Kawaller G. Ira and Koch W Timothy, “Cash-and-Carry Trading and the Pricing of Treasury”, The Journal of Futres Market (Summer, 1984). Pp.115-123.

    Kolb W. Robertt, “Pricing Financial Futures: An Introduction”, The Financial Derivatives Reader, Edit by Kolb, 1992.

    Kolb W. Robert and Raymond Chiang, “Improving Heding Per formance Usiug Interest Rate Futures”, Financial Management, (Autumn,1981). Pp.71-79.
    LeGrand E. Jean and Fertakis P. John, “Interest Rate Caps: Keeping the Lid on Future Rate Hikes”, Journal of Accountancy, Vol.161.(May,1986). Pp.130-136.

    Little and James M., “Financial Futures: A New Investment Path”, Pension & Investment, Vol.7. July 1979. Pp.15-16.

    Litzenberger H. Robert, “Swaps: Plain and Fanciful”, The Journer of Finance, Vol.XLVII,No3, (July,1992). Pp.831-850.

    Macbeth D. James and Merville .J. Larry, II An Empirical Examination of the
    Black-Scholes Call Option Pricing r-dodel", The Journal of Finance, Vo1.XXXIV.
    (Dec.1979). pp.1l73-1186.
    Morris and Charles S., "Managing Interest Rate Risk with Interest Rate Futures",
    Economic Review, Vo1.74. Mar.1989. pp.:3-20.
    Ogden P. Joseph, 1) An Analysis of Yield Curve Notes") Tbe Journal of Finance,
    VOL.XLII. No.l. (Mar.1987). pp.99-110.
    Pitman Joanna; "Swooping on Swaps" , Euromoney, (J an.1988). pp.6S-81.
    Pitts MarIe "The Pricing of Options 011 Debt Securities" : Journal of Portfolio
    r-danagement. Vo1.9. ppAl-;`)O.
    Ramaswamy Krishna and Sundaresan M. Sl1resh "The Valuation of FloatingRate
    Instruments" , Journal of Financial Economics, Vo1.17. 1986. pp.:251-272.
    Rendleman J. Richard Jr. and Barttel` J. Brit, "Two-State Option Priceing",
    Journal of Finallce, Vol.:34. 1979. pp.109:3-1110.
    Richard F. Scott and SUllclaresan, ,; A Continuous Time Equilibrium Model of
    Forward Prices and Futures Prices in A ;vI ultigood Ecolloml`, Journal of
    Financial Economics, Vo1.9. 1981. pp.:347-:371.
    Rinclleman J. Richard Jr.and Carabillt E. Christopher, "The Efficiency of the
    Treasury Bill Futures iVIarket", The Journal of Finance, VoI.XXXIV. No.4.
    (Sep.1979). pp.895-914
    Ritchken Peter, "On Valuing Complex Interest Rate Claims", Journal of Futures
    Market, Vol.lO. No.5 . 1990. pp.44:3-45:`5.
    Ross Derek, "Interest Rate fvlanagement: Swaps,OptiollS and Swaptios", Accountancy,
    Vol. lOG. (Nov./1990) pp.10G-107.
    Rubinstein Mark, "Displaced Diffision Option Pricing", The Journal of Finance,
    VoI.XXXIV. (Mar.19S:3). pp.21:3-217.
    Smith C.vV. Jr., Smithson C.\\IV. and \\Vakeman Nhcclonlcl Lee, "The Market for
    Interest Rate Sawps", Financial Management, CVVinter 1988). pp.34-4{1.
    "The Evolving Markets for Swaps" ) rvliclland Cop orate rinance .Jonrnal,
    (vVinter 1986), pp.20-:32 .
    Smith J. Donald, "The Pricing of Bull and Bear Floating Rate Notes: An
    Application of Financial Engineering)) , Financial Management, (vVinter
    1988). pp.72-S1.
    "Measureillg the Gains from Arbi uaging the S w(~p ?vlMket", Fina.ncia.l
    Executive , (i`vlarch/ April 1988) .
    Smith R. David, "A Simple Method for Pricing Interest Rate Swaptions", Financial
    Analysts Journal, VolA 7. pp.72-7G.
    Sorab Adam and Hodgson NIike, "Extellablc Swaps: Two-vVcty Solution", CorpOl`ate
    Finance, No.7S. (May, 1991). pp. ;,)2.
    Turnbull ;`v1. Stuart, "Swaps: A Zero Sum Game?") Finan cial Mallage.ment,
    (Spring 1987). pp.15-21.

    Wall D. Larry and Pringe. J. John, “Alternative Explan ation of Interest Rate Swaps: A Theoretical and Empirical Analysis”, Financial Management, (Summer 1989). pp59-73.

    --, “Interest Rate Swaps: A Review of the Issues”, The Financial Derivatives Reader, Edit by Robert W. Kolb 1992. Pp.282-300.

    Whaley E. Robert, “Valuation of American Futures Options: Theroy and Em-pirical Tests”, Journal of Finance, Vol.41. (Mar. 1986). Pp.127-150.

    Wilson, Neil. “Portfolio of Trouble”, The Banker, (August 1989). Pp.9-13.
    Description: 碩士
    國立政治大學
    財政學系
    G80255018
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004145
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback