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題名:隨機利率與信用風險下股權聯動結構型票券之訂價及避險策略
書刊名:證券市場發展季刊
作者:廖四郎 引用關係王昭文吳錦文
作者(外文):Liao, Szu-langWang, Chou-wenWu, Chin-wen
出版日期:2006
卷期:17:4=68
頁次:頁191-220
主題關鍵詞:股權聯動結構型票券保本型票券違約風險隨機利率避險策略Equity-linked stuctured notesPrincipal guaranteed noteDefault riskStochastic interest ratesHedging strategy
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(1) 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:1
  • 共同引用共同引用:2
  • 點閱點閱:19
期刊論文
1.Bennett, J. A.、Chen, A. H.、McGinness, P.(1996)。Analysis of Capital Guaranteed Funds。International Review of Economics and Finance,5,259-268。  new window
2.Finnerty, J. D.(1993)。Interpreting SIGNs。Financial Management,22。  new window
3.Jarrow, R. A.、Turnbull, S. M.(1995)。Pricing Derivative on Financial Securities Subject to Credit Risk。Journal of Finance,1,53-85。  new window
4.廖四郎、康榮寶、張嘉倩(20030700)。保本型票券之訂價及避險策略。證券暨期貨管理,21(7),52-68。  延伸查詢new window
5.Chance, D. M.、Broughton, J. B.(1988)。Market Index Depository Liabilities: Analysis, Interpretation, and Performance。Journal of Financial Services Research,1(4),335-352。  new window
6.Chiarella, C.、Kwon, O. K.(2001)。Classes of Interest Rate Models under the HJM Framework。Asia-Pacific Financial Markets,8(1),1-22。  new window
7.Hull, John、White, Alan(1993)。One-factor interest-rate models and the valuation of interest-rate derivative securities。The Journal of Financial and Quantitative Analysis,28(2),235-254。  new window
8.Chen, K. C.、Sears, R. Stephen(1990)。Pricing the SPIN。Financial Management,19(2),36-47。  new window
9.Chen, A. H.、Keinsinger, J. W.(1990)。An Analysis of Market-index Certificates of Deposit。Journal of Financial Services Research,4(2),93-110。  new window
10.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
11.Levy, Edmond(1992)。Pricing European Average Rate Currency Options。Journal of International Money and Finance,11(5),474-491。  new window
12.廖四郎、王昭文(20030900)。The Valuation and Hedging Strategy of High Yield Notes。經濟論文,31(3),333-367。new window  new window
學位論文
1.劉台芬(2002)。保本型高收益債券結構與評價(碩士論文)。國立臺灣大學。  延伸查詢new window
2.廖志峰(1999)。保本基金之設計與評價(碩士論文)。國立中央大學。  延伸查詢new window
3.江明鐘(1996)。保本信託基金之評價與分析:以怡富日本美元還本收益基金為例(碩士論文)。國立政治大學。  延伸查詢new window
 
 
 
 
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