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題名 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
作者 陳鵬仁
Chen, Peng Jen
貢獻者 黃達業
Hwang, Dar Yeh
陳鵬仁
Chen, Peng Jen
關鍵詞 期貨
選擇權
交換交易
futures
options
swap
日期 1993
上傳時間 29-Apr-2016 16:42:29 (UTC+8)
摘要 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-
參考文獻 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。



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描述 碩士
國立政治大學
財政學系
G80255018
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004145
資料類型 thesis
dc.contributor.advisor 黃達業zh_TW
dc.contributor.advisor Hwang, Dar Yehen_US
dc.contributor.author (Authors) 陳鵬仁zh_TW
dc.contributor.author (Authors) Chen, Peng Jenen_US
dc.creator (作者) 陳鵬仁zh_TW
dc.creator (作者) Chen, Peng Jenen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:42:29 (UTC+8)-
dc.date.available 29-Apr-2016 16:42:29 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:42:29 (UTC+8)-
dc.identifier (Other Identifiers) B2002004145en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88985-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財政學系zh_TW
dc.description (描述) G80255018zh_TW
dc.description.abstract (摘要) 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zh_TW
dc.description.abstract (摘要) Financial Engineering, which solves the problems in the fin-en_US
dc.description.tableofcontents 第一章 緒論. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .1
第一節 研究緣起. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
第二節 研究目的與範圍. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .3
第三節 研究方法與架構. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .6

第二章 相關理論回顧與文獻探討. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
第一節 期貨的意義及相關理論之回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
第二節 選擇權的意義及相關理論之回顧. . . . . . . . . . . . . . . . . . . . . . . . . . 19
第三節 期貨選擇權的意義及相關理論之回顧. . . . . . . . . . . . . . . . . . . . . . 31
第四節 交換的意義及相關理論之回顧. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
第五節 交換選擇權的意義及相關理論之回顧. . . . . . . . . . . . . . . . . . . . . . . 43

第三章 利率交換期貨的應用與實證分析. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
第一節 利率交換期貨合約之特性. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
第二節 利率交換期貨合約之應用. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .59
第三節 利率交換期貨合約之實證分析. . . . . . . . . . . . . . . . . . . . . . . . . . . . .67

第四章 利率交換期貨選擇權之應用與評價. . . . . . . . . . . . . . . . . . . . . . . . . . . . .77
第一節 利率交換期貨選擇權之特性. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
第二節 Black-Scoles選擇權評價模型之探討. . . . . . . . . . . . . . . . . . . . . . . 78
第三節 Black期權評價模型與利率交換交易期貨選擇權. . . . . . . . . . . . . 83

第五章 結語. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .85
附錄一 利率交換期貨與現貨價格差異變動表. . . . . . . . . . . . . . . . . . . . . . . . . . . 87
附錄二 韋納過程(Wiener Process) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .98
附錄三 Ito定律(Ito’s Lemma) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .99
附錄四 Math. Appendix of Black-Scholes’ PDE. . . . . . . . . . . . . . . . . . . . . . . . . . . .100
附錄五 買賣權恆等式(Put-Call Parity) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .105
附錄六 浮動利率債券之評價. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105
參考文獻. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 106		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004145en_US
dc.subject (關鍵詞) 期貨zh_TW
dc.subject (關鍵詞) 選擇權zh_TW
dc.subject (關鍵詞) 交換交易zh_TW
dc.subject (關鍵詞) futuresen_US
dc.subject (關鍵詞) optionsen_US
dc.subject (關鍵詞) swapen_US
dc.title (題名) 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zh_TW
dc.title (題名) An Application of Financial Enigneering on Interest Rate Swap Futures and Options on Interest Rate Swap Futuresen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 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。
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