| dc.contributor.advisor | 陳松男 | zh_TW |
| dc.contributor.author (Authors) | 周奇勳 | zh_TW |
| dc.creator (作者) | 周奇勳 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:21:00 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:21:00 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:21:00 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0933525051 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49669 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 93352505 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 在這篇論文裡，我們考量在跨貨幣經濟體系中的市場利率模型，除了本國利率，同時考慮外國利率與兩國匯率的變動過程。在這個架構之下，我們推導匯率連動利率衍生性商品的價格，此模型具有易於執行且參數估計容易的特點。 | zh_TW |
| dc.description.tableofcontents | 1 Introduction 42 The Model 73 Valuation of Quanto Interest Rate Derivatives 12 3.1 Quanto Swaps 123.2 Quanto Caps/Floors 153.3 Exotic Quanto Swaps 184 Calibration and Numerical Analysis 224.1 Calibration Procedure 224.2 Numerical Analysis 245 Conclusion 29Appendix A: Proof of Theorem 1 30Appendix B: Proof of Theorem 2 32Appendix C: Proof of Theorem 5 34Appendix D: The Market Data 35Bibliography 36 | zh_TW |
| dc.format.extent | 442388 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0933525051 | en_US |
| dc.subject (關鍵詞) | 跨貨幣市場利率模型 | zh_TW |
| dc.subject (關鍵詞) | 匯率連動利率交換 | zh_TW |
| dc.subject (關鍵詞) | 匯率連動利率上限 | zh_TW |
| dc.subject (關鍵詞) | 新奇匯率連動交換 | zh_TW |
| dc.title (題名) | 連結匯率變動之利率衍生性商品相關研究 | zh_TW |
| dc.title (題名) | Valuation of quanto interest rate derivatives in a cross-currency LIBOR market model | en_US |
| dc.type (資料類型) | thesis | en |
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