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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/88997


    Title: 金融互換工具定價模型之研究
    The Pricing Model of Financial Swaps
    Authors: 陳明彬
    Chern, Ming-Bin
    Contributors: 李桐豪
    Tunghao Lee
    陳明彬
    Ming-Bin Chern
    Keywords: 金融互換工具
    隨機微分方程式
    隱含式有限插分法
    Financial Swaps
    Stochastic Differential Equations
    Implicit Finite Difference Method
    Date: 1993
    Issue Date: 2016-04-29 16:43:00 (UTC+8)
    Abstract: 本論文主要目標為發展金融互換的定價模型。既是欲建立量化模型,首要
    Reference: [1]Robert C. Merton, "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates “, The Journal of Finance, Vol. 3D, No.2, May 1975.
    [2] John C. Cox, Jonathan E. Ingersoll , JR. and Stephen A. Ross, "An Analysis of Variable Rate Loan Contracts", The Journal of Finance, Vol. 35, No. 2, May 1980.
    [3] John C. Cox, Jonathan E. Ingersoll , JR. and Stephen A. Ross , "The Relation between Forward Prices and Futures Prices", Journal of Financial Economics, 9(1981).
    [4] John C. Cox, Jonathan E. Ingersoll , JR. and Stephen A. Ross , "A Reexamination
    of Traditional Hypotheses about the Term Structure of Interest Rates", The Journal of Finance, Vol. 36, No.4 September 1981.
    [5] John C. Cox, Jonathan E. Ingersoll, JR. and Stephen A. Ross , "A Theory of the Term Structure of Interest Rates;`, Econometria, Vol. 53, No. 2 March, 1985.
    [6] John C. Cox, Jonathan E. Ingersoll, JR. and Stephen A. Ross, “An Intertemporal
    General Equilibrium Model of Asset Prices", Econometria, Vol. 53, No.2. March, 1985. [7]Hayne E. Leland, "Option Pricing and Replication with Transactions Costs", The Journal of Finance, Vol. XL; No.5, December 1985.
    [8] James Bicksler and Andrew H. Chen, "An Economic Analysis of Interest Rate Swaps ", The Journal of Finance, Vol. XLI. No. 3, July 1986.
    [9] Krishna Ramaswamy and Suresh M. Sundaresan, "The Valuation of Floating-Rate Instruments: Theory and Evidence" , Journal of Financial Economics 17(1986)
    [10] Stuart M. Turnbull, "Swaps: A Zero Sum Games? ", Financial Management
    Spring 1987.
    [11] A. Cooper and Antonio S. Mello, "The Default Risk of Swaps", The Journal of Finance} Vol. XLVI No. 2 June 1991.
    [12] Robert H. Litzenberger, "Swaps: Plain and Fanciful", The Journal of Finance Vol. XLVII. No.3 July 1992.
    [13] Edited by Boris AntI, Swap Finance Euromoney Publications 1987
    [14] Darrell Duffie, Dynamic Asset Princing Theory Princeton University Press 1992
    [15] Jonathan E. Ingersoll , JR. Theory of Financial Decesion Making Row-man
    and Littlefield Publishers. 1987
    [16] Suresh Sundaresan, "Valuation of Swaps" Recent Developments in Intermational Banking and Finance CH XII Vol IV and V 1991
    [17] Edited by Donald Chew, New Developments in Commerical Banking}
    Blackwell Publishers, 1991. "
    [18] Bernt ksendal, Stochastic Differential Equation 1992
    [19] Daniel Revuz Marc Yor, Continuous Martingales and Brownian Motion 1991
    [20] N.H. Press, S.A . Teukolsky, W.T. Vetterling and B.P. Flannery, Numerical
    Recipes `in C. Cambridage University Press, 1992
    [21] ·William F. Amess, Numerical Method For Partial Differential Equations,
    Academic Press Inc. 1977
    [22]李麗,金融交換實務,三民書局,1989
    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    80351022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002004158
    Data Type: thesis
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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