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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/49669
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49669


    Title: 連結匯率變動之利率衍生性商品相關研究
    Valuation of quanto interest rate derivatives in a cross-currency LIBOR market model
    Authors: 周奇勳
    Contributors: 陳松男
    周奇勳
    Keywords: 跨貨幣市場利率模型
    匯率連動利率交換
    匯率連動利率上限
    新奇匯率連動交換
    Date: 2009
    Issue Date: 2010-12-08 16:21:00 (UTC+8)
    Abstract: 在這篇論文裡,我們考量在跨貨幣經濟體系中的市場利率模型,除了本國利率,同時考慮外國利率與兩國匯率的變動過程。在這個架構之下,我們推導匯率連動利率衍生性商品的價格,此模型具有易於執行且參數估計容易的特點。
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    Brace, A., Musiela, M. (1997). "Swap Derivatives in a Gaussian HJM Framework," Mathematics of Derivative Securities, M.A.H. Dempster, S. R. Pliska, eds. Cambridge University Press, Cambridge, 336-368.
    Brigo, D., Mercurio, F. (2006). Interest rate models: theory and practice. New York: Springer-Verlag.
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    60(1), 77-105.
    Hull, J., White, A. (1990). "Pricing interest rate derivatives securities," Review of Financial Studies 3, 573-592.
    Jamshidan, F. (1993). "Price Differentials," RISK, 6, 7, 48-51.
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    Litzenberger, R. H. (1992). "Swaps: plain and fanciful," Journal of Finance, July, 831-850.
    Rebonato, R. (1999). On the simultaneous calibration of multifactor lognormal interest rate models
    to Black volatilities and to the correlation matrix. Journal of Computational Finance, 2, 5-27.
    Rogers, C. (1996). "Gaussian Errors," RISK 9, 42-45.
    Turnbull, S. (1993). "Pricing and Hedging Diff Swaps," Journal of Financial engineering, December, 297-333.
    Wei, J. (1994). "Valuing Differential Swaps," Journal of Derivatives, Spring, 64-76.
    Wu, T. P., Chen, S. N. (2007). "Cross-currency Equity Swap in the BGM Model," Journal of Derivatives, Winter, 60-76.
    Description: 博士
    國立政治大學
    金融研究所
    93352505
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0933525051
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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