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Abstract The valuation of equity swap under the condition of risk neutral is similar to the forward interest rate swap with the same period. Therefore, its valuation formula is consistent to interest rate swap model in the traditional methods. But it is not the same as in pricing the cross-currency equity swap. The dymanic prices of foreign stock index and exchange rate, and the correlation coefficients between exchange rates and foreign assets also affect the swap rate. In this paper, we extend Chance and Rich(1998)¡¦s valuation formula of equity swaps, and apply Amin (1991)¡BAmin and Bodurtha(1995)¡BLin(1997)¡¦s dymanic prices of assets in discrete time period. To derive the risk neutral valuation formula of equity swap, it uses the method of transfer probability measure. This study finds the expected return of foreign stock index in the no arbitrage condition, in addition equal to foreign forward interest rate with the same period , must be add a correction term to reflect the exchange rate risk and the transfer of forward martingale measure. This paper also derives the pricing formula of equity swaptions¡Bcaps¡Bfloors¡Bvariable notional principal and blended equity swap. Finally, we find the volatility of foreign forward interest rate is the most important factor of pricing the swap rate from numerical simulation. And if the correlation of the volatility of exchange rate and foreign stock index¡Bthe correlation of the volatility of exchange rate and foreign forward interest rate are negative, the swap rate will be higher.

Die Arbeit behandelt den Debt-Equity-Swap im Insolvenzplanverfahren. Sie geht dabei besonders auf die rechtlichen und praktischen Hürden des Debt-Equity-Swaps im Insolvenzplanverfahren ein und deren mögliche Bewältigung. Aufgrund der mutmaßlichen geringen Praxisrelevanz wird die Motivation der am Insolvenzplan Beteiligten besprochen. Hierfür beschäftigt sich ein der Teil der Arbeit mit einer Umfrage unter Berater*innen und Insolenzverwalter*innen. Die Arbeit schließt mit Vorschlägen zur Bewältigung von Hürden und einer abschließenden Betrachtung.

L’objet de cette thèse est de déterminer la nature et le régime d’un contrat financier appelé "equity swaps".L’equity swap est un contrat bilatéral qui permet à l’une des parties d’acquérir la propriété économique d’actions indiquées par les parties. Ces actions sont appelées « actions sous-jacentes ». Elles ne forment pas l’objet des obligations du contrat. Ce dernier ne donne naissance qu’à des dettes de valeur. C’est la nature particulière de ces obligations qui permet de rattacher les equity swaps à la catégorie des contrats financiers.Les actions sous-jacentes constituent donc le support des valeurs que chacune des parties s’engagent réciproquement à se payer. Ces valeurs représentent la propriété économique des actions sous-jacentes. Cette notion permet de distinguer les equity swaps des autres contrats financiers.La propriété économique répliquée par l’equity swap est toutefois source d’incertitudes. L’equity swap ne donne certes lieu à aucun transfert de propriété et aucune des parties n’est tenue de détenir les actions sous-jacentes. Mais un actionnaire peut conclure un equity swap afin de transférer la propriété économique de ses actions. En outre les equity swaps sont souvent utilisés par les investisseurs afin d’acquérir de façon occulte les actions de sociétés cotées. Bref, les parties à un equity swap n’ont pas toujours des motivations purement financières. La détermination du régime des equity swaps commande donc de s’interroger sur les conditions d’application du droit des sociétés et du droit boursier.Enfin, en tant que contrat financier, l’equity swap est censé être régi par la réglementation financière. Cette dernière était toutefois largement inadaptée aux contrats financiers. Elle doit être repensée. / The purpose of this study is to qualify and, consequently to specify the governing laws applicable to a derivative called “equity swap”.Equity swap is a bilateral contract which allows one of the parties to acquire economic ownership of some shares indicated by the parties. Those shares are called “underlying shares”. They are not due to be delivered by the parties. The parties to an equity swap are only due to pay to each other cash amounts representing values of the underlying shares. That is these very particular obligations which enable to qualify the equity swaps as derivatives.Thus, the underlying shares are used in order to calculate those cash amount so that they represent the economic ownership of the underlying shares. That is the reason why equity swaps are an original kind of derivatives.The economic ownership created by the equity swaps results in some legal uncertainty. Equity swap do not provide for assignment of legal ownership. And none of the parties is due to be the legal owner of the underlying shares. But a shareholder may enter into an equity swap in order to transfer the economic ownership of its shares and equity swaps are often used by investors in order to acquire hidden ownership in listed companies. In other words, parties do not enter into equity swaps for financial purpose only. Determining the laws applicable to the equity swaps requires to analyze companies law and stock exchange law.At last, as a derivative the equity swap is supposed to be governed by financial regulation. This regulation does not fit with derivatives. It needs to be specified.

無匯率風險之跨通貨股權交換是新型態的衍生性金融商品,投資人可用此從事跨國投資,而不承擔匯率風險.本文立基於Dravid,Richardson and Sun(1993), Amin and Bodurhta(1995), 及Lin(1997), 首次推導間斷時間,可計算之無匯率風險下跨通貨單向及雙向股權交換之評價模型.在現金流量法之下,股價指數及匯率的隨機過程設定為lognormal process,利率則跟隨HJM模型.文中發現影響無匯率風險之跨通貨股權交換價格的主要變數為股價指數的波動度,外國股價指數與匯率間的相關性,以及兩國利率差距,與匯率的波動度無關.最後,以三個例子說明此新型態金融工具之運作情形. 1. Preliminary....................................................................................................................................................................1 1.1 Background...............................................................................................................................................................1 1.2 Brief Literature Review on the Pricing of Equity Swaps...........................................................................................3 1.3 The Aim of This Study.............................................................................................................................................4 1.4 Chapter Outline and Results......................................................................................................................................5 2.Introduction to Equity Swaps..........................................................................................................................................7 2.1 Basic Equity Swaps...................................................................................................................................................7 2.2 Variants of Baisc Equity Swaps...............................................................................................................................11 2.3 International Investment Environments....................................................................................................................12 2.4 Cross-Currency Equity Swaps.................................................................................................................................14 3. Literature Review...........................................................................................................................................................19 3.1 Marshall,Sorensen, and Tucker(1992)......................................................................................................................19 3.2 Rich(1995)................................................................................................................................................................20 3.3 Jarrow and Turnbull(1996).......................................................................................................................................22 3.4 Lin(1997)..................................................................................................................................................................25 3.5 Chance and Rich(1998).............................................................................................................................................27 4. Valuation of Cross-Currency Two-Way Equity Swaps Without Currency Risks Under Constant Interest Rates.........35 5. Valuation of Cross-Currency Two-Way Equity Swaps Without Currency Risks Under Stochastic Interest Rates.......43 6. Valuation of Cross-Currency One-Way Equity Swaps Without Currency Risks..........................................................55 7. Case Study......................................................................................................................................................................61 7.1 Case One...................................................................................................................................................................61 7.2 Case Two..................................................................................................................................................................63 7.3 Case Three.................................................................................................................................................................64 8. Conclusions...................................................................................................................................................................67 Appendixes........................................................................................................................................................................69 References .........................................................................................................................................................................92 / Based on Dravid,Richardson, and Sun(1993), Amin and Bodurtha(1995), and Lin(1997), this thesis first derives the computable discrete-time pricing formulas for the cross-currency one-way and two-way equity swaps without currency risks, which are exotic financial derivatives used for cross-border investments without the exchange rate exposure. Under the cash flow approach, equity indexes and the exchange rate are modeled by the lognormal processes, and the interest rate processes follow the HJM model. The swap price is shown to depend on the volatilities of equity indexes, the interaction between the foreign equity index and the exchange rate, as well as the interest rate differential of two countries. It does ont depend on the volatility of the exchange rate. Finally, three cases illustrate the usage of these two exotic financial instruments.

由於交換合約為店頭市場交易，故其違約風險的考量為一重要因素。本文依據Wang and Liao（2003）對於權益交換的研究，以及Hübner（2001）對於信用風險的設定，將之結合，在完全市場的假設下，不考慮交易成本以及賦稅影響下，推導出考慮信用風險後的一般化權益交換評價模型，對於各類型的權益交換評價，只需將本文模型假設簡化即可運用。而依據本文推導結果在跨通貨的權益交換模型中，較無跨通貨的權益交換模型多了一個匯率風險調整項，另外在考慮信用風險之後，則會再多出一信用風險調整項。

雖然跨通貨股酬交換在國際投資市場扮演著重要的角色，但文獻上關於股酬交換評價模式的相關探討並不多，且多集中於國內市場或以本國貨幣做為支付幣別的股酬交換。對於跨通貨股酬交換而言，其評價模式較國內股酬交換之評價模式複雜許多，如何將影響其價值之股價指數、匯率與利率此三個主要因子間的交互相關性同時加入考量，即是此產品之評價過程的重點。 本文在完全市場的假設下，同時放寬傳統評價方法之各變數之相關係數為固定值的假設，提出一新的股酬交換評價方法，即以『兩階段兩步驟』之較具經濟含意的複製方式，推導出股酬交換的一般化評價公式。透過此複製方法，可更清楚得知股酬交換於存續期間的價值變動，更可進一步求得其避險方式，以提供股酬交換交易商在面臨不對稱風險(mismatch risk)時的避險方法。而本文的第二個貢獻在於，將本文所提出之『兩階段兩步驟』的複製方法應用於利率交換的評價上，推導出跨通貨利率交換的一般化評價模式，以進一步比較股酬交換與利率交換此兩種商品的差異性，並試圖釐清市場上對於跨通貨股酬交換評價上的誤解。 與傳統評價公式最大的差異在於：本文評價公式額外考慮了一修正項，複製投資組合可藉由此修正項，對未來各參數間的變動隨時做出調整，以使投資組合能完全複製跨通貨股酬交換的價值。 本文發現，對於國內投資人支付固定利率，以交換B市場的股價指數報酬，且以C國的貨幣做為支付幣別的跨通貨股酬交換而言，其價值除了受到當期利率期間結構的影響外，在期初或每期交換後，其價值與股價指數無直接關聯，但在兩支付間，其價值則會受到當時股價指數與前期股價指數之相對比例的影響。同時，C國對本國的未來匯率並未直接影響跨通貨股酬交換的價值。且若假設各國遠期利率的波動度為零下，則當B國股價指數與C國對本國的匯率呈現正關係或當B國股價指數與B國對本國的匯率呈現負關係時，跨通貨股酬交換的價值愈大。另外，市場上投資人通常誤認股酬交換的價值等於利率交換價值，對於股酬交換與利率交換的比較，本文發現在大多數的情況下，股酬交換的價值與利率交換的價值並不相等。