| dc.contributor | 財管系 | |
| dc.creator (作者) | 謝沛霖 | |
| dc.creator (作者) | Chen, Ren-Raw;Hsieh, Pei-Lin;Huang, Jeffrey;Luo, Liangbingyan (Alina) | |
| dc.date (日期) | 2025-03 | |
| dc.date.accessioned | 12-Mar-2026 14:53:58 (UTC+8) | - |
| dc.date.available | 12-Mar-2026 14:53:58 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-Mar-2026 14:53:58 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=181596 | - |
| dc.description.abstract (摘要) | In this article, we use graph theory to model the term structure of interest rates. In particular, we use a directed acyclic graph (DAG) to model the key swap rates. Then we calibrate the model to at-the-money (ATM) swaptions (i.e., ATM swaption volatility surface). Afterward, the model can be used to price exotic interest rate options (e.g., callable range accruals). | |
| dc.format.extent | 102 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Fixed Income, Vol.34, No.4, pp.128-161 | |
| dc.title (題名) | A Graphic Model for the Term Structure of Interest Rates | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.3905/jfi.2024.1.199 | |
| dc.doi.uri (DOI) | https://doi.org/10.3905/jfi.2024.1.199 | |
