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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.
161

信用及利率衍生性商品之評價與分析--以信用連結票券及利率交換為例

林淳瑜 Unknown Date (has links)
近年來由於金融自由化的發展,台灣已陸續開放新金融商品,除了股權相關的新金融商品之外,也陸續開放利率相關的新金融商品,如新台幣利率交換、新台幣利率選擇權、債券遠期交易、債券選擇權等。在信用衍生性商品市場方面,我國銀行從2002年底開放承做信用衍生性商品,目前正準備開放證券商承做。隨著金融國際化及自由化,未來將會從國外引進更新穎的金融商品,使金融市場更為完備。 本文以Hull – White利率模型及LIBOR市場模型為架構,藉由數值方法評價分析兩個衍生性商品──信用連結票券及利率交換。首先在信用連結票券方面,運用Li(1998)建立信用價差曲線(Credit Curve),將之應用至Hull – White三元樹,評價信用連結票券之價值,並作敏感度分析與避險參數分析。其次在利率交換方面,由於投資人端連結「雪球型」的支付型態,為路徑相依商品,故使用LIBOR市場模型以蒙地卡羅模擬法(Monte Carlo)進行評價與分析,再進行發行者損益兩平分析及情境分析。最後針對兩個商品的評價結果作結論,分析發行者及投資人的利潤及避險,並給予後續研究者模型改進之建議與方向。
162

自己間引き個体群における密度効果のロジスチック理論

萩原, 秋男, HAGIHARA, Akio 12 1900 (has links) (PDF)
農林水産研究情報センターで作成したPDFファイルを使用している。
163

使用方向距離函數探討我國銀行業技術效率 —非貝氏方法考慮函數的單調與曲度性質 / Technical Efficiency of Commercial Banks in Taiwan on Directional Distance Function - A Non-Bayesian Approach Imposing Monotonicity and Curvature Conditions

毛芝瑩, Mao, Chih Ying Unknown Date (has links)
本研究發展新的計量方法,運用隨機邊界法將單調性和曲度條件等性質納入迴歸模型,使用聯立迴歸模型進行估計,藉此讓係數估計值不易出現違反經濟理論的情況。 採用台灣2002年至2015年,51家商業銀行進行實證分析,發現本研究方法估計產出方向距離函數時,僅有5%以下的樣本點不符合單調和曲度等性質,用於估計產出面距離函數時,僅有2%以下的樣本點不符合。進一步探討台灣銀行業之非意欲產出--逾期放款--對估計技術效率的影響,顯示不考慮此非意欲產出造成整體銀行業、非金控本國銀行與外商銀行的技術效率被高估,而金控本國銀行的技術效率則被低估,此外,分析2007年金融風暴前後銀行業經營效率變化,顯示考慮非意欲產出銀行業經營效率顯著提升,然而,未考慮非意欲產出銀行業經營效率卻下降,兩者結果有著極大的差異。 / The aim of the paper is to develop a new approach, which is stochastic frontier analysis imposing monotonicity and curvature conditions, then using simultaneous regression model to estimate. By the approach, it can solve the problem of most of the coefficient estimates violating the economic theory. The study uses the data of 51 commercial banks in Taiwan from 2002 to 2015 to conduct the empirical analysis. It indicates that by output directional distance function, less than 5% sample points violate the monotonicity and curvature conditions; by output distance function, less than 2% sample points don’t obey the restricted conditions. Further, the paper discusses the effect of commercial banks’ undesirable output- non-performing loan- on estimating technical efficiency. The results show that ignoring the undesirable output cause the technical efficiency of overall banks, non-finance holding banks and foreign banks are overvalued, and the technical efficiency of finance holding banks are undervalued. Furthermore, analyze the change of business efficiency after financial crisis in 2007. It points out that using the model consider the undesirable output, the banks’ efficiency rises. However, using the model no consider the undesirable output, the banks’ efficiency decreases. There is an extremely conflict between two approach.
164

後現代組織對策略之再思考 / Rethinking Strategy in the Postmodern Organization

林俊杰, Lin, Chun-chieh Peter Unknown Date (has links)
摘要 組織乃社會網絡的一員,其必須正視後現代主義者對當今後現代社會的觀察,以及必須面臨的嚴苛挑戰! 本論文旨在探討後現代主義思潮對當代組織的影響與啟示為何?部分當代管理情境(或稱後現代情境), 例如,追求一切可能性、對簡單之渴望、感性的思維、 不確定性、 快速變遷、不連續性、模糊、 無界限、解構、 去中間化、 片斷化、 以族群取代社會階級、 多元化、尊重差異、超現實、以及反宰制性規則等等,對當代組織(或稱後現代組織)現在或未來在策略擬定時的影響與啟示為何? 面對後現代情境及其挑戰 , 後現代組織現在或未來對策略之再思考為何? 後現代組織未來可能適用之新的組織模式為何? 以及後現代組織對策略之再思考的實務作為為何? 本研究主要以文獻探討與次級資料檢索之檔案研究法為主,資料檢索的對象(含個案資料之來源)是以探討較高層次的概念性策略新思維為主。至於屬於研究輔助性質之個案部分,則以屬於營利性質之全球知名多國籍企業、由製造導向轉型為服務導向者、或者可印證本研究所探討之策略新思維者為主。 經由本探索研究後發現,面對後現代主義思維的衝擊,以及後現代管理情境的挑戰,組織應該重新檢視其前提假設、回歸策略本質、勾勒遠大的構想、開創新的價值曲線以避開面對面競爭、重新尋找組織在數位世界的價值定位與經營模式、專注核心、建立社群、培養廣義「顧客」----利害關係人之新的忠誠度、善用所有利害關係人的關係與優勢、 注重組織內外部的整合以及策略要素之間的整合與一致性、擺脫語言牢籠(規則)的束縛而賦予員工彈性、持續尋找任何強調彈性結構、網絡關係、溝通效率、以及民主化機制的組織模式或概念。 最後,對於全球的多國籍企業,本研究建議其必須在全球的產業分工體系之下,勾勒遠大的構想、開創新的價值曲線、發展世界級的核心能力、建立或主導某些內外部社群或電子企業社群、採行time pacing策略以穩健成長、強化跨產業或跨國之組織與策略整合的作為、時時檢視與修改任何宰制性的政策或規則、以及繼續尋找與試行任何可能且可行的組織模式或概念。 / Abstract Organizations that are parts of social network must take into account those issues discovered and criticized by Postmodernist and those severe challenges facing organizations. This dissertation tries to explore those impact and implications aroused by postmodernist for contemporary organizations, those contemporary scenario (postmodern scenario) facing organizations, such as in search of possibilities, in need of simplicity, sensuous thinking, indeterminacy, a rapidly changing environment, discontinuity, ambiguity, boundarylessness, borderless, deconstruction, disintermediation, fragmentation, social class replaced by tribes, diversity, apprizing difference or otherness, hyperreality, and against governing rules, that will affect the strategic planning of organizations at present or in the coming future. In addition, this dissertation also tries to explore that currently or in the coming future how organizations rethink their strategies while facing postmodern scenario and its rigorous challenges, what forms, models or concepts of organization design that organizations can apply, and those managerial practices that organizations have ever executed. The research methodology adopted by this dissertation is primarily literature review and secondary data exploration. The target data including cases are focused on those conceptual strategic thinking. Those cases that are mainly complement to this dissertation are those distinguished multinational corporations (MNC) that have ever been transformed from manufacturing-oriented to service-oriented, or are able to prove partial strategic thinking reviewed in the dissertation. In the face of those thinking impact stirred by postmodernist and challenges resulted from postmodern managerial scenario, this dissertation concludes that organizations should review and rethink their assumption for the world, revisit the essence of strategy, picture and propose the big ideas, create or explore new value curves to avoid cruel face-to-face competition, explore new value positions and business models in the digital world, focus and develop core businesses and competence, build and manage communities, cultivate new types of royalty for those stakeholders partnering with organizations, utilize the relationships with and advantages from stakeholders, emphasize and advocate internal and external organizational integration and consistence and alignment for strategies, free from the cage of language and empower employees, keep exploring those organizational models or concepts that advocate or propose flexibility, networks of people, efficiency of communication, and spirit of democracy. In conclusion, this dissertation suggests that under global industrial value chains, multinational corporations should picture and propose the big ideas, create and explore new value curves, develop best-in-world core competence, form or dominate some internal or external communities or e-business communities, adopt strategy of time pacing for sound and moderate growth, reinforce cross-industry or cross-nation integration for organizations and strategies, keep reviewing and modifying any governing policy or rules, and keep searching and experimenting any latest possible and feasible models or concepts of organization.
165

從資源依賴的觀點探討組織價值創新:全面解決方案提供者的個案探討 / Resource Dependence Perspective of Organizational Value Innovation: Case Study of a Total Solution Provider

陳德川, Chen,Te-Chuan Unknown Date (has links)
創業初期所面對的主要問題就是資源不足的問題,要如何獲取生存與發展所需要的資源是企業的重要課題。首先,企業必須分析內部環境,找出核心資源,並將之發揮在目標事業上,為企業奠定基礎。再者,企業必須分析外部環境,透過各種組織鏈結策略,重新調整與供應商、顧客、甚至是競爭者之間的關係成為策略夥伴關係,選擇並集中核心競爭強項,形成資源互補,提供給客戶一個全面解決方案(Total solution)的服務,以滿足甚至超過顧客預期的需求,使得顧客願意持續購買,企業藉此從環境中獲取關鍵資源並得以持續發展。 本研究透過個案分析發現,組織在成為「全面解決方案提供者(TSP)」的角色過程中,因為市場力量及組織力量的融合過程的不同,我們分析出其發展軌跡可以歸類成為五大類,即「水平整合型的TSP」、「垂直整合型的TSP」、「先水平後垂直整合型的TSP」、「先垂直後水平整合型的TSP」以及「垂直及水平整合並進型的TSP」。這五大類型的發展軌跡基本上描述了組織發展的過程,讓我們更清楚的知道組織成長過程中因為環境因素以及組織因素所造就成的組織面貌。 「TSP成長曲線 (TSP Growth Curve)」的形成過程,是在個案成長過程分析及探討後發現,組織要追求持續成長,單靠本身的資源是受限的,組織必須去整合內外部的資源,包括重新建構核心資源、組織並管理外部資源網絡,透過各樣的鏈結策略使得組織獲取成長所需要的關鍵資源,透過策略再思考重新組織企業架構,建構一個學習性組織平台,鼓勵在這個平台上的每一個人去創新思考,讓組織成員得以在非傳統性架構下去思考,在非秩序中去創新,讓大家願意去共創組織的價值。 研究發現,組織獲取資源並成為TSP的四個步驟為:1.建構組織核心資源與能力2.從環境中獲取關鍵資源3.價值創新成為TSP角色使顧客滿足4.降低對環境依賴,繼續提升高一層次的成長循環。這樣良性的循環讓組織累積更多資源而逐漸壯大,擺脫了創業初期資源不足的困境,組織在壯大的同時因為建立了更多的資源而逐漸降低對於原有環境中的資源依賴,並與環境中資源提供者的關係從依賴變成互賴,此時組織已經提昇到了另一層次的成長循環。這樣的成長循環使得組織得以在不同的環境中獲取不同的資源繼續成長,讓企業一直維持企業生命週期中的成長階段,因而可能避免或延遲了衰退階段的發生。 本研究的特色是從資源依賴的角度出發,探討組織如何透過從環境中獲取成長所需的關鍵資源,並探討組織藉由成為全面解決方案提供者的角色來獲取顧客價值創新,此時組織價值亦跟隨提升。 大部分的企業皆無法規避「出生、成長、成熟、飽和、衰退」的命運,就如同生命會歷經「出生、幼年、青年、壯年、老年」的歷程一般,或許企業無法避免衰退或消失的命運,但是找出「延年益壽」方法來維持壯年期是一個可行的策略。「TSP成長曲線圖」以「TSP成長循環圖」即可以說明企業從「創業成功」到「維持成長」的策略歷程,可以作為企業經營發展的參考。 / The major problem in the early stage of entrepreneurship is the shortage of resources, so it is industries’ crucial mission to acquire the resources to sustain and develop its growth. First, industries must analyze its internal environment to identify the core sources and apply them into the target business, to lay the foundation for companies. Second, industries must conduct external analysis with organizations linkage mechanism to re-address the connection among suppliers, customers and even competitors, so that they can become the strategic partners, formulate complimentary resources, concentrate on their own core advantages in the competition. In this way, they can offer customers the service of Total Solution, to meet, even exceed customers’ expectation. Hence, this could sustain customers’ continuous purchase, and industries can keep developing its business by grabbing the crucial resources in the environment. This research discovered that, due to the different merging processes between market powers and organizations power, there are five categorized patterns when organizations become Total Solution Provides (TSP): horizontal integration TSP, vertical integration TSP, horizontal-to-vertical integration TSP, vertical-to-horizontal integration TSP and simultaneously vertical and horizontal integration TSP. These five patterns basically outline the process of organization development and bring us more diverse pictures caused by different environmental and organizational causes. After studying cases and formulating of the TSP Growth Curve, this research found out that it is limited to for organizations to pursue the growth by its own resources. Industries must integrate internal and external resources, re-construct the core resources, manage the external resource network, acquire all the necessary resources for further growth through linkage mechanism, rethink the structure of the business, establish the learning platform to encourage its member to jointly create the value for the organizations, contemplate beyond the boundary of tradition and innovate without order. There are four steps for the organizations to acquire resources and formulate the TSP Growth Curve: 1. Constructing the core resources and capability of the organizations; 2.Acquireing the core resources from the environment; 3.Becoming TSP with value innovation and satisfy the customers; 4.Lowering the dependence on the environment and upgrading the Growth circle. Organizations can grow stronger, accumulate more resources with this benign circle and leave the dilemma of insufficient resources. In this way, organizations can receive more resources than ever; it can also turn the relationship between organizations and supplier from unilateral dependence to mutual dependence and TSP Growth circle will also be upgraded while they are growing bigger. This growth circle can continuously sustain its development by collecting different resources in different environments. Hence, the stage of growth will be prolonged, and the stage of recession will be avoided of delayed. Based on the Resources dependence theory, this research has discussed how organizations obtain the crucial resources from the environment to generate growth, and also analyzed that when organizations obtain customers’ value innovation by playing TSP, organizations’ value will also raise consecutively. Most industries can not avoid the linear destiny of establishment, growth, maturity, saturation and recession as well as human’s life stage of birth, child, youth, adult and aging. Industries may not genuinely ward off the consequence of decline or disappearance, but it’s still workable to figure out a strategy to prolong the period of maturity. TSP Growth Curve and TSP Growth Circle can well explain the industries’ process from the stage of “entrepreneurship” to “the maintenance of growth”, and also offer the positive example for business operation.
166

狀態轉換下利率與跳躍風險股票報酬之歐式選擇權評價與實證分析 / Option Pricing and Empirical Analysis for Interest Rate and Stock Index Return with Regime-Switching Model and Dependent Jump Risks

巫柏成, Wu, Po Cheng Unknown Date (has links)
Chen, Chang, Wen and Lin (2013)提出馬可夫調控跳躍過程模型(MMJDM)描述股價指數報酬率,布朗運動項、跳躍項之頻率與市場狀態有關。然而,利率並非常數,本論文以狀態轉換模型配適零息債劵之動態過程,提出狀態轉換下的利率與具跳躍風險的股票報酬之二維模型(MMJDMSI),並以1999年至2013年的道瓊工業指數與S&P 500指數和同期間之一年期美國國庫劵價格為實證資料,採用EM演算法取得參數估計值。經由概似比檢定結果顯示無論道瓊工業指數還是S&P 500指數,狀態轉換下利率與跳躍風險之股票報酬二維模型更適合描述報酬率。接著,利用Esscher轉換法推導出各模型下的股價指數之歐式買權定價公式,再對MMJDMSI模型進行敏感度分析以評估模型參數發生變動時對於定價公式的影響。最後,以實證資料對各模型進行模型校準及計算隱含波動度,結果顯示MMJDMSI在價內及價外時定價誤差為最小或次小,且此模型亦能呈現出波動度微笑曲線之現象。 / To model asset return, Chen, Chang, Wen and Lin (2013) proposed Markov-Modulated Jump Diffusion Model (MMJDM) assuming that the Brownian motion term and jump frequency are all related to market states. In fact, the interest rate is not constant, Regime-Switching Model is taken to fit the process of the zero-coupon bond price, and a bivariate model for interest rate and stock index return with regime-switching and dependent jump risks (MMJDMSI) is proposed. The empirical data are Dow Jones Industrial Average and S&P 500 Index from 1999 to 2013, together with US 1-Year Treasury Bond over the same period. Model parameters are estimated by the Expectation-Maximization (EM) algorithm. The likelihood ratio test (LRT) is performed to compare nested models, and MMJDMSI is better than the others. Then, European call option pricing formula under each model is derived via Esscher transformation, and sensitivity analysis is conducted to evaluate changes resulted from different parameter values under the MMJDMSI pricing formula. Finally, model calibrations are performed and implied volatilities are computed under each model empirically. In cases of in-the-money and out-the-money, MMJDMSI has either the smallest or the second smallest pricing error. Also, the implied volatilities from MMJDMSI display a volatility smile curve.
167

微細複合組織金属の変形機構および塑性加工性に関する研究 / ビサイ フクゴウ ソシキ キンゾク ノ ヘンケイ キコウ オヨビ ソセイ カコウセイ ニカンスル ケンキュウ

名取 恵子, Keiko Natori 22 March 2014 (has links)
ヘテロ構造組織を有する鉄・非鉄金属の組織形態に注目して,微視的構造やその挙動が巨視的現象(変形特性,成形性)として発現するメカニズムを解明することを目的とした.鉄系金属ではDual Phase型高張力鋼のスプリングバック現象のひずみ速度依存性,非鉄系金属では半凝固鋳造法と強ひずみ加工を組み合わせた亜共晶アルミニウム合金の衝撃後方押出し成形性に注目した.これらの検討によりいずれの試料においても,結晶粒界よりもスケールの大きいヘテロ構造に由来した変形機構が支配的であることが明らかになった. / 博士(工学) / Doctor of Philosophy in Engineering / 同志社大学 / Doshisha University

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