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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 29-四月-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-
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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 (作者) 陳鵬仁zh_TW
dc.contributor.author (作者) 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 29-四月-2016 16:42:29 (UTC+8)-
dc.date.available 29-四月-2016 16:42:29 (UTC+8)-
dc.date.issued (上傳時間) 29-四月-2016 16:42:29 (UTC+8)-
dc.identifier (其他 識別碼) 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:
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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，
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