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Two essays on derivatives markets. / CUHK electronic theses & dissertations collection / Digital dissertation consortium / ProQuest dissertations and thesesJanuary 2001 (has links)
The development and introduction of financial derivatives have great impact on modern finance. Option pricing theory has become a powerful tool to value and to understand these innovations. It is also an indispensable tool to calculate hedge ratios for risk measurement and management. On the one hand, the introduction of new financial derivatives has been blamed for making financial market more volatile and risky as evidenced in the financial markets of the USA and Japan, especially during the expiration of index futures and index options, On the other hand, the applicability of new pricing models to hedging strategies is essential in monitoring and managing option positions. This study tries to give some answers on first: whether the expiration of financial derivatives increases the volatility of the Hong Kong stock market; second: whether we can better hedge by straightly applying more elaborated option valuation models replacing the standard Black-Scholes model, which market participants commonly employed for hedging option positions. Part I of this article addresses the first question while Part II studies the second question. / Yung Hei Ming. / Source: Dissertation Abstracts International, Volume: 62-09, Section: A, page: 3138. / Supervisor: Zhang Hua. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.
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A computer system for converting bill of quantities into quantity and dollar budgets for construction projects.January 1985 (has links)
by Paul Chu Hoi-fai. / Bibliography: leaf 40 / Thesis (M.B.A.)--Chinese University of Hong Kong, 1985
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The causes of inflation in Hong Kong.January 1985 (has links)
by Janet Yin Yao Lai, David Tak Kong Leung. / Bibliography: leaf 78 / Thesis (M.B.A.)--Chinese University of Hong Kong, 1985
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"Volatility smile" of Hang Seng Index options: unlocking market information.January 1997 (has links)
by Wan Chi-Keung. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 33-34). / TABLE OF CONTENTS / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF FIGURES --- p.iv / LIST OF TABLE --- p.v / ACKNOWLEDGEMENT --- p.vi / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- VOLATILITY SMILE --- p.4 / The Black- Scholes Model --- p.6 / The Implied Tree --- p.7 / The Implied Probability Distribution --- p.10 / Chapter III. --- LITERATURE REVIEW --- p.12 / Chapter IV. --- RECOVERING PROBABILITY DISTRIBUTIONS OF HSI --- p.18 / Shimko's Method --- p.19 / Data Selection --- p.22 / Probability Distributions of HSI --- p.23 / Chapter V. --- CONLUDING REMARKS --- p.27 / APPENDIX --- p.30 / BIBLIOGRAPHY --- p.33
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An empirical study of the Hong Kong money market: term structure, term preimum and uncovered interestparityWan, Wai-choi, Benny., 溫偉才. January 1991 (has links)
published_or_final_version / Economics / Master / Master of Social Sciences
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Exchange rate, inflation rate and interest rate: theories and their applications to Hong Kong economy.January 1992 (has links)
Lam Man Kin, Wong Yim Pan. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references. / ACKNOWLEDGEMENTS --- p.ii / ABSTRACT --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF TABLES --- p.vi / LIST OF FIGURES --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- A BRIEF REVIEW OF THE MODELS FOR FOREIGN EXCHANGE DETERMINATION --- p.6 / Purchasing Power Parity --- p.6 / Flexible Price Monetary Model --- p.9 / Sticky Price Monetary Model -Exchange Rate Dynamics --- p.11 / Portfolio Balance Approach --- p.14 / Insights --- p.16 / Chapter III. --- THE LINKED EXCHANGE RATE SYSTEM --- p.18 / A Brief Historical Account --- p.18 / The Linked Exchange Rate System and Interest Rate --- p.19 / The Linked Exchange Rate System and Inflation Rate --- p.21 / The Pattern of Interest Rate Since Oct. 1983 --- p.22 / "The Pattern of Inflation Rate Since Oct., 1983" --- p.23 / "The Change of Real Exchange Rate Since Oct.,1983" --- p.23 / Chapter VI. --- METHODOLOGIES FOR THE EMPIRICAL STUDIES --- p.31 / The Data --- p.31 / Statistical Techniques --- p.32 / Models to be studied --- p.32 / Absolute PPP --- p.32 / Relative PPP --- p.33 / Augmented PPP Model --- p.34 / Hong Kong Inflation and US Inflation --- p.35 / Hong Kong Interest Rate and US Interest Rate --- p.36 / Interest Rate and Inflation Rate of Hong Kong --- p.36 / Chapter V. --- EMPIRICAL RESULTS AND DISCUSSIONS --- p.38 / PPP Model --- p.38 / Absolute PPP --- p.38 / Relationship between Exchange Rate and Price Levels --- p.43 / Relative PPP --- p.43 / Inflations of Hong Kong and the US --- p.45 / Percentage change of exchange rate and inflation --- p.46 / Augmented PPP Model: Incorporate Interest Rates in PPP Model --- p.47 / Absolute PPP --- p.47 / Interest Rates and Short Term Fluctuation of Exchange Rate --- p.48 / Relative PPP --- p.49 / Interest Rates and the Percentage Change of Exchange Rate --- p.51 / Hong Kong Inflation and US Inflation --- p.51 / The Divergence of Two Inflation Rates --- p.52 / Hong Kong Interest Rate and US Interest Rate --- p.53 / Hong Kong Inflation and Hong Kong Interest Rates --- p.55 / Chapter VI. --- CONCLUSION --- p.57 / Limitations --- p.59 / APPENDIX / I --- p.61 / II --- p.67 / BIBLIOGRAPHY --- p.78
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Comprehensive study on interest rate and currency swaps.January 1997 (has links)
by Hui Chi Hang and Wong Wai Ming. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 89-92). / ABSTRACT --- p.iv / TABLE OF CONTENT --- p.v / Chapter Page / Chapter PART I : --- Interest Rate Swap --- p.1 / Chapter 1. --- INTRODUCTION AND HISTORY OF SWAP --- p.2 / Chapter 2. --- INTRODUCTION TO INTEREST RATE SWAP --- p.6 / Chapter 3. --- ECONOMICS AND PRICING OF INTEREST RATE SWAP --- p.8 / "Exhibit I - Example 1,2 & 3" --- p.19 / Chapter 4. --- APPLICATION OF INTEREST RATE SWAP --- p.25 / Chapter PART II: --- Currency Swap --- p.27 / Chapter 5. --- INTRODUCTION TO CURRENCY SWAP --- p.28 / Chapter 6. --- ECONOMICS AND PRICING OF CURRENCY SWAP AND LTFX CONTRACTS --- p.30 / Exhibit II - Example 4 --- p.38 / Chapter Part III : --- Implication of Swap in Major Markets --- p.41 / Chapter 7. --- MAJOR SWAP MARKETS --- p.42 / Chapter 8. --- THE HONG KONG SWAP MARKET --- p.49 / Chapter Part IV : --- Risks and Control in Swaps --- p.53 / Chapter 9. --- COMMON RISKS AND CONTROL IN SWAPS --- p.54 / Appendix --- p.60 / Chapter I. --- INTRODUCTION TO OTHER MAJOR SWAPS --- p.61 / Chapter II. --- USER GUIDE FOR USING THE DISKETTE FOR PRICING OF SWAPS --- p.71 / Chapter III. --- QUESTIONNAIRE FOR INTERVIEWS --- p.79 / Chapter IV. --- BRIEF REPORT ON INTERVIEWS --- p.81 / Bibliography --- p.89 / Exhibit I - Example 1 --- p.93 / Exhibit I - Example 2 --- p.94 / Exhibit I - Example 3 --- p.95 / Exhibit II - Example 4 --- p.96 / "Diskette for SWAP. XLS for pricing of interest rate swap, and LTFX contracts" --- p.97
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Pricing decisions of syndicated loans for Hong Kong corporations.January 1998 (has links)
by Chow Ho Wai. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 50-51). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF EXHIBITS --- p.v / LIST OF TABLES --- p.vi / PREFACE --- p.vii / CHAPTERS / Chapter I. --- INTRODUCTION --- p.1 / Definition of Syndicated Loans --- p.1 / Definition of Pricing --- p.2 / Project Objectives --- p.2 / Project Scope --- p.3 / Chapter II. --- KEY ELEMENTS OF SYNDICATED LOAN MARKET --- p.4 / Benefits to Borrowers --- p.4 / Benefits to Lenders --- p.6 / Types of Syndicated Facilities --- p.11 / Titles and Roles --- p.12 / Principal Terms and Conditions --- p.14 / Hong Kong Market Characteristics --- p.16 / Chapter III. --- METHODOLOGY --- p.22 / Literature Review --- p.22 / Model --- p.24 / Sample Data --- p.27 / Analytical Methods --- p.29 / Chapter IV. --- EMPIRICAL RESULTS AND ANALYSIS --- p.32 / Significant Independent Variables --- p.32 / Loan Pricing Model --- p.34 / Chapter V. --- CONCLUSION AND RECOMMENDATIONS --- p.35 / APPENDICES --- p.39 / BIBLIOGRAPHY --- p.50
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Structural change and inflation in Hong Kong: the relevance of labor importation to inflation control policyChong, Chun-sang., 莊春生. January 1992 (has links)
published_or_final_version / abstract / Economics / Master / Master of Social Sciences
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