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題名 一般化差額互換之評價與避險
The Pricing and Hedging of a Generalized Differential Swaps作者 歐陽傑
Chieh, Ou-Yang貢獻者 陳松男
Son-Nan Chen
歐陽傑
Chieh Ou-Yang關鍵詞 差額互換
利率互換
衍生性金融商品
differential swaps
interest rate swaps
financial derivatives日期 2002 上傳時間 20-Apr-2016 11:11:55 (UTC+8) 摘要 差額互換是一種能提供投資人在不直接引起匯率風險的情況下，參與他國貨幣市場，以增加投資收益及降低資金成本的新金融商品。依照支付與計價貨幣的不同，可分為以本國貨幣、外國貨幣以及第三國貨幣為支付與計價貨幣三種不同的型態。由於Wei(1994)、唐英傑(1997)的定價模型僅評價出上述前兩種型態的差額互換，本研究的主要目的即為延續Wei(1994)的定價方法，評價出最一般化的差額互換，即本國與外國利率交換而以第三國貨幣為支付貨幣的差額互換，並且證明上述的兩種差額互換為此一般化差額互換的特例。三種差額互換詳細的評價過程均附於附錄，提供有興趣的讀者參考。 參考文獻 1.Arnold,L.,"Stochastic differential equations : theory and applications", New York : Wiley, 1974 2.Coopers&Lybrand,"Currency swaps : a self-study guide to mastering and applying currency swaps", Chicago, Ill. : Probus Pub., c1992 3.Das,S. , "Differential Strip Down" ,Risk,June1992, pp.65-72. 4.Das,S. , "Differential Operator" ,Risk,July1992,pp.51-53. 5.Das, Styajit ,"Swaps and financial derivatives : the global reference to products,pricing, applications and markets" London : IFR Publishing, 1994 6.James,M.S., "Using Differential Swaps",Corporate cashflow,February1993,Vol14/part2 7.Jamshidian, F. "Price Differentials." Risk,July 1993, pp. 48- 51. 8.Litzenberger,RobertH., "Swaps：Plain and Fanciful",Journal of Finance, July1992 ,pp.831-850. 9.Robinson,D., "Diff Swaps Tempt the Wary",Euromoney, October 1991,pp.10-11. 10.Turnbull,S.,"Pricing and Hedging Diff Swaps", Journal of Financial Engineering, December1993,pp.297-333. 11.Wei.J., "Streams of Consequence",Risk, January 1994, pp.42-44. 12.Wei.J., "Valuing Differential Swaps",Journal of Derivatives,Spring1994,pp.64-76. 13.唐英傑 "差額互換之訂價與避險" 中央財務管理研究所1997 14.張智星 "Matlab程式設計與應用"清蔚科技2000 描述 碩士
國立政治大學
金融研究所
88352001資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002000272 資料類型 thesis dc.contributor.advisor 陳松男 zh_TW dc.contributor.advisor Son-Nan Chen en_US dc.contributor.author (Authors) 歐陽傑 zh_TW dc.contributor.author (Authors) Chieh Ou-Yang en_US dc.creator (作者) 歐陽傑 zh_TW dc.creator (作者) Chieh, Ou-Yang en_US dc.date (日期) 2002 en_US dc.date.accessioned 20-Apr-2016 11:11:55 (UTC+8) - dc.date.available 20-Apr-2016 11:11:55 (UTC+8) - dc.date.issued (上傳時間) 20-Apr-2016 11:11:55 (UTC+8) - dc.identifier (Other Identifiers) B2002000272 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85601 - dc.description (描述) 碩士 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) 88352001 zh_TW dc.description.abstract (摘要) 差額互換是一種能提供投資人在不直接引起匯率風險的情況下，參與他國貨幣市場，以增加投資收益及降低資金成本的新金融商品。依照支付與計價貨幣的不同，可分為以本國貨幣、外國貨幣以及第三國貨幣為支付與計價貨幣三種不同的型態。由於Wei(1994)、唐英傑(1997)的定價模型僅評價出上述前兩種型態的差額互換，本研究的主要目的即為延續Wei(1994)的定價方法，評價出最一般化的差額互換，即本國與外國利率交換而以第三國貨幣為支付貨幣的差額互換，並且證明上述的兩種差額互換為此一般化差額互換的特例。三種差額互換詳細的評價過程均附於附錄，提供有興趣的讀者參考。 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002000272 en_US dc.subject (關鍵詞) 差額互換 zh_TW dc.subject (關鍵詞) 利率互換 zh_TW dc.subject (關鍵詞) 衍生性金融商品 zh_TW dc.subject (關鍵詞) differential swaps en_US dc.subject (關鍵詞) interest rate swaps en_US dc.subject (關鍵詞) financial derivatives en_US dc.title (題名) 一般化差額互換之評價與避險 zh_TW dc.title (題名) The Pricing and Hedging of a Generalized Differential Swaps en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.Arnold,L.,"Stochastic differential equations : theory and applications", New York : Wiley, 1974 2.Coopers&Lybrand,"Currency swaps : a self-study guide to mastering and applying currency swaps", Chicago, Ill. : Probus Pub., c1992 3.Das,S. , "Differential Strip Down" ,Risk,June1992, pp.65-72. 4.Das,S. , "Differential Operator" ,Risk,July1992,pp.51-53. 5.Das, Styajit ,"Swaps and financial derivatives : the global reference to products,pricing, applications and markets" London : IFR Publishing, 1994 6.James,M.S., "Using Differential Swaps",Corporate cashflow,February1993,Vol14/part2 7.Jamshidian, F. "Price Differentials." Risk,July 1993, pp. 48- 51. 8.Litzenberger,RobertH., "Swaps：Plain and Fanciful",Journal of Finance, July1992 ,pp.831-850. 9.Robinson,D., "Diff Swaps Tempt the Wary",Euromoney, October 1991,pp.10-11. 10.Turnbull,S.,"Pricing and Hedging Diff Swaps", Journal of Financial Engineering, December1993,pp.297-333. 11.Wei.J., "Streams of Consequence",Risk, January 1994, pp.42-44. 12.Wei.J., "Valuing Differential Swaps",Journal of Derivatives,Spring1994,pp.64-76. 13.唐英傑 "差額互換之訂價與避險" 中央財務管理研究所1997 14.張智星 "Matlab程式設計與應用"清蔚科技2000 zh_TW
