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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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連結匯率變動之利率衍生性商品相關研究 / Valuation of quanto interest rate derivatives in a cross-currency LIBOR market model

周奇勳 Unknown Date (has links)
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。
跨貨幣市場利率模型
匯率連動利率交換
匯率連動利率上限
新奇匯率連動交換

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