Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/85601
題名: 一般化差額互換之評價與避險
The Pricing and Hedging of a Generalized Differential Swaps
作者: 歐陽傑
Chieh, Ou-Yang
貢獻者: 陳松男
Son-Nan Chen
歐陽傑
Chieh Ou-Yang
關鍵詞: 差額互換
利率互換
衍生性金融商品
differential swaps
interest rate swaps
financial derivatives
日期: 2002
上傳時間: 20-Apr-2016
摘要: 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。
參考文獻: 1.Arnold,L.,\"Stochastic differential equations : theory and\r\n applications\", New York : Wiley, 1974\r\n2.Coopers&Lybrand,\"Currency swaps : a self-study guide to\r\n mastering and applying currency swaps\", Chicago, Ill. :\r\n Probus Pub., c1992\r\n3.Das,S. , \"Differential Strip Down\" ,Risk,June1992, pp.65-72.\r\n4.Das,S. , \"Differential Operator\" ,Risk,July1992,pp.51-53.\r\n5.Das, Styajit ,\"Swaps and financial derivatives : the global\r\n reference to products,pricing, applications and markets\"\r\n London : IFR Publishing, 1994\r\n6.James,M.S., \"Using Differential Swaps\",Corporate\r\n cashflow,February1993,Vol14/part2\r\n7.Jamshidian, F. \"Price Differentials.\" Risk,July 1993,\r\n pp. 48- 51.\r\n8.Litzenberger,RobertH., \"Swaps:Plain and Fanciful\",Journal of\r\n Finance, July1992 ,pp.831-850.\r\n9.Robinson,D., \"Diff Swaps Tempt the Wary\",Euromoney, October\r\n 1991,pp.10-11.\r\n10.Turnbull,S.,\"Pricing and Hedging Diff Swaps\", Journal of\r\n Financial Engineering, December1993,pp.297-333.\r\n11.Wei.J., \"Streams of Consequence\",Risk, January 1994,\r\n pp.42-44.\r\n12.Wei.J., \"Valuing Differential Swaps\",Journal of\r\n Derivatives,Spring1994,pp.64-76.\r\n\r\n13.唐英傑 \"差額互換之訂價與避險\" 中央財務管理研究所1997\r\n14.張智星 \"Matlab程式設計與應用\"清蔚科技2000
描述: 碩士
國立政治大學
金融研究所
88352001
資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002000272
資料類型: thesis
Appears in Collections:學位論文

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