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題名 金融互換工具定價模型之研究
The Pricing Model of Financial Swaps
作者 陳明彬
Chern, Ming-Bin
貢獻者 李桐豪
Tunghao Lee
陳明彬
Ming-Bin Chern
關鍵詞 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
日期 1993
上傳時間 29-Apr-2016 16:43:00 (UTC+8)
摘要 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
參考文獻 [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
描述 碩士
國立政治大學
國際經營與貿易學系
80351022
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004158
資料類型 thesis
dc.contributor.advisor 李桐豪zh_TW
dc.contributor.advisor Tunghao Leeen_US
dc.contributor.author (Authors) 陳明彬zh_TW
dc.contributor.author (Authors) Ming-Bin Chernen_US
dc.creator (作者) 陳明彬zh_TW
dc.creator (作者) Chern, Ming-Binen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:43:00 (UTC+8)-
dc.date.available 29-Apr-2016 16:43:00 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:43:00 (UTC+8)-
dc.identifier (Other Identifiers) B2002004158en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88997-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易學系zh_TW
dc.description (描述) 80351022zh_TW
dc.description.abstract (摘要) 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zh_TW
dc.description.tableofcontents 目錄
     第一章 緒論1
     第1.1節 研究動機..........1
     第1.2節 研究架構2
     第二章 金融互換工具4
     第2.1節 互換契約的主要內容..........4
     第2.2節 金融互換工具分類的基本要件..........11
     第2.3節 金融互換之演化..........18
     第2.4節 金融互換之種類..........23
     第2.5節 金融互換工具定價之思維面向..........29
     第2.5.1節 金融互換工具之結構型態..........29
     第2.5.2節 定價時應考慮的面向..........30
     第三章 文獻回顧..........32
     第3.1節 浮動利率金融工具之經濟分析與評價..........32
     第3.1.1節 浮動利率貸款契約之分析..........32
     第3.1.2節 浮動利率工具之評價..........35
     第3.2節 金融互換評價..........39
     第四章 理論定價模型..........49
     第4.1節 隨機微分方程式..........51
     第4.1.1節 隨機過程..........51
     第4.1.2節 It? Integral與Martingale..........54
     第4.1.3節 擴散微分方程式..........56
     第4.2節 定價分析結果..........60
     第4.2.1節 金融互換之價格..........61
     第4.2.2節 敏感度分析..........63
     第五章 結論 67
     附錄 68
     第A.1節 數值分析..........68
     第A.1.1節 拋物線式偏微分方程式..........68
     第A.1.2節 有限差分方法..........71		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004158en_US
dc.subject (關鍵詞) 金融互換工具zh_TW
dc.subject (關鍵詞) 隨機微分方程式zh_TW
dc.subject (關鍵詞) 隱含式有限插分法zh_TW
dc.subject (關鍵詞) Financial Swapsen_US
dc.subject (關鍵詞) Stochastic Differential Equationsen_US
dc.subject (關鍵詞) Implicit Finite Difference Methoden_US
dc.title (題名) 金融互換工具定價模型之研究zh_TW
dc.title (題名) The Pricing Model of Financial Swapsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) [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		zh_TW