Thesis (Ph. D.)--University of Wisconsin--Madison, 1981. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaves 115-117).

Thesis (Ph. D.)--Ohio State University, 1986. / Includes vita. Includes bibliographical references (leaves 172-184). Available online via OhioLINK's ETD Center.

Thesis (Ph. D.)--University of Washington, 2000. / Vita. Includes bibliographical references (leaves 113-121).

No description available.

by Law Kwok Fu, Frank. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaf 34). / ACKNOWLEDGEMENT --- p.2 / Chapter 1 . --- INTRODUCTION --- p.3 / Chapter 2. --- SPOT CONTRACT --- p.7 / Chapter 3. --- FORWARD CONTRACT --- p.8 / Chapter 4. --- CURRENCY FUTURES --- p.10 / Chapter 5. --- CURRENCY OPTIONS --- p.14 / Chapter 6. --- CURRENCY WARRANTS --- p.17 / Chapter 7. --- CONCLUSION. --- p.32 / BIBLIOGRAPHY / APPENDIX / Chapter 1. --- Some of currency futures and options listed in overseas exchanges --- p.35 / Chapter 2. --- Details of currency warrants available in the market --- p.37 / Chapter 3 . --- Raw data --- p.38 / Chapter 4. --- Graphs of the DM spot rate and the daily price movements of 3 warrants --- p.41 / Chapter 5-7. --- The relative daily change in DM spot rate in % against the daily change in price of the 3 DM warrants --- p.45

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

published_or_final_version / Business Administration / Master / Master of Business Administration

本研究目的在於探討韓國、巴西與俄羅斯等實施外匯管制的國家，其上市本國貨幣匯率期貨對該國外匯市場之影響。及小型開放經濟的紐西蘭，在CME上市的美元/紐幣匯率期貨後，對該國外匯市場之影響。以加入虛擬變數單變量GARCH模型探討匯率期貨成立期間對匯率現貨的波動性是否會產生影響；以雙變量GARCH模型探討匯率期貨波動是否會對匯率現貨波動造成影響。 研究期間乃以各國引入匯率期貨契約的基準日之下，前後各兩年的匯率日報酬率資料。實證結果顯示： 一、韓國、巴西與俄羅斯，其開放匯率期貨交易後反而會降地現貨市場的波動，但小型開放經濟的紐西蘭，在CME上市的美元/紐幣匯率期貨後，會增加現貨市場的波動。 二、以上四個國家其外匯現貨市場的波動並不會受外匯期貨市場波動的影響。 / The objective of this study is to evaluate the impact upon foreign exchange markets for exchange control countries as Korea, Brazil, and Russia when foreign exchange futures was introduced, and small-scale open economy as New Zealand when foreign exchange futures was introduced in CME. This study was an application of univariate and bivariate GARCH models to investigate the effect of foreign exchange futures trading and volatility on spot market volatility. This study utilized the daily foreign exchange rate return series based on foreign exchange futures introduced with the former and latter two years. The empirical results are as follows: 1. The spot volatility decreases significantly after foreign exchange futures trading in Korea, Brazil, and Russia. The spot volatility increases significantly after foreign exchange futures trading in New Zealand. 2. The futures volatility does not affect the spot volatility in Korea, Brazil, Russia, and New Zealand.

This study addressed two issues. First, it examined the ability of two models, developed by Cox, Ingersoll and Ross (CIR), to explain the differences between futures and implicit forward prices in the thirteen-week T-bill market. The models imply that if future interest rates are stochastic, futures and forward prices differ; the structural difference is due to the daily settlement process required in futures trading. Second, the study determined the efficiency of the thirteen-week T-bill futures market using volatility and regression tests. Volatility tests use variance bounds to examine whether futures prices are excessively volatile for the market to be efficient. Regression tests investigate whether futures prices are unbiased predictors of future spot prices. The study was limited to analysis of the first three futures contracts, using weekly price data as reported in the Wall Street Journal from March, 1976 to December, 1984. Testing of the first CIR model involved determination of whether changes in futures-forward price differences are related to changes in local covariances between T-bill futures and bond prices. The same procedure applied in testing the second model with respect to changes in futures-forward price differences, local covariances between T-bill spot and bond prices, and local variances of bond prices. Volatility tests of market efficiency involved comparison of mean variances on both sides of two inequality equations. Regression tests involved determination of whether slope coefficients are significantly different from zero.

by Cheng Ping Kuen, Franco [and] Chin Nai Yun, William. / Bibliography : leaf 85 / Thesis (M.B.A.)--Chinese University of Hong Kong, 1984