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題名:以分段三次方指數函數配適臺灣公債市場之利率期限結構:線性最適化與非線性最適化之比較
書刊名:中國財務學刊
作者:謝承熹
作者(外文):Hsieh, Cheng His
出版日期:2000
卷期:8:2
頁次:頁25-47
主題關鍵詞:利率期限結構殖利率曲線折現因子分段三次方指數函數Term structure of interest ratesYield curveDiscount factorCubic exponential spline
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(14) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:14
  • 共同引用共同引用:0
  • 點閱點閱:33
期刊論文
1.Heath, D. C.、Jarrow, R. A.、Morton, A. J.(1990)。Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation。Journal of Financial and Quantitative Analysis,25(4),419-440。  new window
2.Steeley, J. M.(1991)。Estimating the Gilt-Edged Term Structure: Basis Splines and Confidence Intervals。Journal of Business Finance and Accounting,18(4),513-529。  new window
3.Carleton, W. T.、Cooper, I. A.(1976)。Estimation and Uses of the Term Structure of Interest Rates。Journal of Finance,31,1067-1083。  new window
4.Black, F.、Derman, E.、Toy, W.(1990)。A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options。Financial Analysts Journal,46(1),33-39。  new window
5.Shea, G. S.(1985)。Interest Rate Term Structure Estimation with Exponential Splines: A Note。Journal of Finance,40(1),319-325。  new window
6.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。  new window
7.Nelson, C. R.、Siegel, A. F.(1987)。Parsimonious Modeling of Yield Curves。The Journal of Business,60(4),473-489。  new window
8.McCulloch, J. Huston(1975)。The Tax-Adjusted Yield Curve。Journal of Finance,30(3),811-830。  new window
9.Adams, K. J.、Van Deventer, D. R.(1994)。Fitting Yield Curves and Forward Rate Curves with Maximum Smoothness。The Journal of Fixed Income,4(1),52-62。  new window
10.Lin, B. H.(1999)。Fitting the Term Structure of Interest Rates for Taiwanese Government Bonds。Journal of Multinational Financial Management,9(1),331-352。  new window
11.Hull, J. C.、White, A.(1994)。Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models。The Journal of Derivatives,2(1),7-16。  new window
12.Longstaff, Francis A.、Schwartz, Eduardo S.(1992)。Interest-Rate Volatility and the Term Structure: A Two-factor General Equilibrium Model。The Journal of Finance,47(4),1259-1282。  new window
13.Chambers, D. R.、Carleton, W. T.、Waldman, D. W.(1984)。A New Approach to Estimation of the Term Structure of Interest Rates。Journal of Financial and Quantitative Analysis,19(3),233-252。  new window
14.Brennan, M. J.、Schwartz, E. S.(1982)。An equilibrium model of bond pricing and a test of market efficiency。Journal of Financial and Quantitative Analysis,17(3),301-329。  new window
15.Hull, John、White, Alan(1990)。Pricing Interest-Rate-Derivative Securities。Review of Financial Studies,3(4),573-592。  new window
16.McCulloch, J. Huston(1971)。Measuring the Term Structure of Interest Rates。Journal of Business,44(1),19-31。  new window
17.Vasicek, Oldrich A.、Fong, H. Gifford(1982)。Term Structure Modeling Using Exponential Splines。Journal of Finance,37(2),339-348。  new window
18.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
19.Ho, Thomas S. Y.、Lee, Sang Bin(1986)。Term Structure Movements and Pricing Interest Rate Contingent Claims。The Journal of Finance,41(5),1011-1029。  new window
20.Black, F.、Karasinski, P.(1991)。Bond and Option Pricing When Short Rates Are Lognormal。Financial Analysts Journal,47(4),52-59。  new window
21.Hull, J.、White, A.(1996)。Using Hull-White interest rate trees。The Journal of Derivatives,3(3),26-36。  new window
22.Lin, B. H.、Paxson, D. A.(1995)。Term Structure Volatility and Bund Futures Embedded Options。Journal of Business Finance & Accounting,22(1),101-127。  new window
23.Shea, G. S.(1984)。Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations。Journal of Financial and Quantitative Analysis,19(3),253-269。  new window
24.Constantinides, G.(1992)。A Theory of the Nominal Term Structure of Interest Rates。Review of Financial Studies,5(4),531-552。  new window
25.Jordan, J. V.(1984)。Tax Effect in Term Structure Estimation。The Journal of Finance,XXXIX(2),393-406。  new window
26.Longstaff, F. A.(1989)。A Non-Linear General Equilibrium Model of the Term Structure of Interest Rates。Journal of Financial Economics,23,195-224。  new window
27.Nelder, J. A.、Mead, R.(1965)。A Simplex Method for Function Minimization。Computer Journal,7,308-313。  new window
研究報告
1.Schaefer, S. M.(1973)。On Measuring the Term Structure of Interest Rates。0。  new window
圖書
1.Hull, J. C.(2000)。Options, Futures, and Other Derivatives。Prentice-Hall。  new window
2.Press, William H.、Flannery, Brian P.、Teukolsky, Saul A.、Vetterling, William T.(1988)。Numerical Recipes in C: The Art of Scientific Computing。New York。  new window
3.Doan, T. A.(1992)。RATS User's Manual, Version 4。RATS User's Manual, Version 4。Evanston, IL。  new window
 
 
 
 
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