Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/85601| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.advisor | Son-Nan Chen | en_US |
| dc.contributor.author | 歐陽傑 | zh_TW |
| dc.contributor.author | Chieh Ou-Yang | en_US |
| dc.creator | 歐陽傑 | zh_TW |
| dc.creator | Chieh, Ou-Yang | en_US |
| dc.date | 2002 | en_US |
| dc.date.accessioned | 2016-04-20T03:11:55Z | - |
| dc.date.available | 2016-04-20T03:11:55Z | - |
| dc.date.issued | 2016-04-20T03:11:55Z | - |
| dc.identifier | B2002000272 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/85601 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 金融研究所 | zh_TW |
| dc.description | 88352001 | zh_TW |
| dc.description.abstract | 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。 | zh_TW |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#B2002000272 | en_US |
| dc.subject | 差額互換 | zh_TW |
| dc.subject | 利率互換 | zh_TW |
| dc.subject | 衍生性金融商品 | zh_TW |
| dc.subject | differential swaps | en_US |
| dc.subject | interest rate swaps | en_US |
| dc.subject | financial derivatives | en_US |
| dc.title | 一般化差額互換之評價與避險 | zh_TW |
| dc.title | The Pricing and Hedging of a Generalized Differential Swaps | en_US |
| dc.type | thesis | en_US |
| dc.relation.reference | 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 | zh_TW |
| item.fulltext | With Fulltext | - |
| item.openairetype | thesis | - |
| item.cerifentitytype | Publications | - |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.grantfulltext | open | - |
| Appears in Collections: | 學位論文 | |
Files in This Item:
| File | Size | Format | |
|---|---|---|---|
| index.html | 115 B | HTML2 | View/Open |
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.