Lai, Kwok Tung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 64-66). / Abstracts in English and Chinese. / Abstract --- p.i / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Literature Review --- p.9 / Chapter 3 --- Preliminary Analysis of Data --- p.17 / Chapter 3.1 --- Data --- p.17 / Chapter 3.2 --- Preliminary Analysis of Unspanned Stochastic Volatility --- p.20 / Chapter 4 --- A Jump-Diffusion Model for Federal Funds Target Rate --- p.23 / Chapter 4.1 --- Model Specification --- p.23 / Chapter 4.2 --- Estimation Result --- p.31 / Chapter 5 --- Pricing and Hedging Performance of Interest Rate Derivatives --- p.34 / Chapter 5.1 --- Pricing Performance of Interest Rate Cap --- p.34 / Chapter 5.2 --- Hedging Performance of Interest Rate Caplet --- p.38 / Chapter 5.3 --- Hedging Performance of Interest Rate Straddle --- p.42 / Chapter 6 --- Conclusion --- p.49 / Figures --- p.51 / Tables --- p.55 / Bibliography --- p.64
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326308 |
| Date | January 2008 |
| Contributors | Lai, Kwok Tung., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vi, 66 leaves : ill. ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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