臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：房貸基礎證券評價與風險值--風險中立評價法與均衡評價法之比較
書刊名：財務金融學刊
作者：廖咸興 引用關係／張森林 引用關係／陳仁遶／楊太樂／廖堃宇
作者(外文)：Liao, Hsien-hsing／Chung, San-lin／Chen, Ren-raw／Yang, Tyler／Liao, Kun-yu
出版日期：2007
卷期：15:2
頁次：頁1-42
主題關鍵詞：風險中立評價；房貸基礎證券；風險值；Risk neutral pricing；Mortgage-backed securities；Value-at-risk
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:0
  • 點閱點閱:25
期刊論文
1.Deng, Yongheng、Quigley, John M.、Van Order, Robert(2000)。Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options。Econometrica，68(2)，275-307。  new window
2.Torous, Walter N.、Schwartz, Eduardo S.(1992)。Prepayment, Default, and the Valuation of Mortgage Pass-through Securities。Journal of Business，65(2)，221-239。  new window
3.Dunn, K.、McConnell, J.(1981)。Valuation of GNMA Mortgage-Backed Securities。The Journal of Finance，36，599-616。  new window
4.Kau, J. B.、Keenan, D. C.、Muller, Walter J. III、Epperson, J. F.(1995)。The Valuation at Origination of Fixed-Rate Mortgages with Default and Prepayment。The Journal of Real Estate Finance and Economics，11(1)，5-39。  new window
5.Litterman, R.、Sheinkman, J.(1991)。Common Factors Affecting Bond Returns。Journal of Fixed Income，1(1)，54-61。  new window
6.Schwartz, E. S.、Torous, W. N.(1989)。Prepayment and the Valuation of Mortgage Backed Securities。The Journal of Finance，44(2)，375-392。  new window
7.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
8.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
9.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
10.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
11.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
12.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics，5(2)，177-188。  new window
13.Hall, A. R.(1985)。Valuing the Mortgage Borrower's Prepayment Option。AREUEA Journal，13(3)，229-247。  new window
14.Calhoun, Charles A.、Deng, Yongheng(2002)。A Dynamic Analysis of Fixed and Adjusted- rate Mortgage Terminations。The Journal of Real Estate Finance and Economics，24，9-33。  new window
15.Gibbons, M. R.、Ramaswamy, K.(1993)。A Test of the Cox, Ingersoll, and Ross Model of the Term Structure。The Review of Financial Studies，6，619-658。  new window
16.Chen, K. C.、Karolyi, G. A.、Longstaff, F. A.、Sander, A. B.(1992)。An Empirical Comparison of Alternative Models of the Short-term Rate。The Journal of Finance，48，1209-1227。  new window
17.Heath, K.、Jarrow, R.、Morton, A.(1992)。Bond Pricing and the Term Structure of Interest Rate: A New Methodology。Econometrica，60，77-105。  new window
18.Buser, S.、Hendershott, P.、Sanders, A.(1990)。Determinants of the Value of the Call Options on Default-free Bonds。The Journal of Business，63，33-50。  new window
19.Stanton, R.(1995)。Rational Prepayment and the Valuation of Mortgage-backed Securities。The Review of Financial Studies，8，677-708。  new window
20.Hull, J.、White, A.(1990)。Pricing Interest Rate Derivative Securities。The Review of Financial Studies，35，573-592。  new window
21.Brown, S. J.、Dybvig, P. H.(1986)。The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structur of Interest Rates。The Journal of Finance，41，617-630。  new window
22.Chen, Ren-Raw、Yang, Tyler T.(1995)。The Relevance of Interest Rate Processes in Pricing Mortgage-backed Securities。Journal of Housing Research，6(2)，315-332。  new window
23.Brown, R. H.、Schaefer, S. M.(1994)。The Term Structure of Real Interest Rates and the Cox, Ingersoll, and Ross Model。Journal of Financial Economics，35，3-42。  new window
24.Hull, J.、White, A.(1990)。Valuing Derivatives Securities Using the Explicit Finite Difference Method。Journal of Financial and Quantitative Analysis，25，87-100。  new window
研究報告
1.Chen, Ren-Raw、廖咸興、Yang, Tyler T.(2004)。An Equilibrium Mortgage Pricing Model。0。  new window
2.Hördahl, Peter、Vestin, David(2004)。Interpreting Implied Risk-neutral Densities: The Role of Risk Premia。0。  new window
圖書
1.Glasserman, Paul(2003)。Monte Carlo Methods in Financial Engineering。Springer-Verlag。  new window
2.Rebonato, Riccardo(1998)。Interest-rate Option Models: Understanding, Analysis and Using Models for Exotic Interest-rate Options。Interest-rate Option Models: Understanding, Analysis and Using Models for Exotic Interest-rate Options。Hoboken, NJ。  new window
3.Cheyette, O.(1997)。Advances in Fixed Income Valuation Modeling and Risk Management。Advances in Fixed Income Valuation Modeling and Risk Management。New Hope, PA。  new window
4.Philips, Richard A.、Rosenblatt, Eric、Vanderhoff, James H.(1996)。The Probability of Fixed and Adjustable Rate Mortgage Termination。The Probability of Fixed and Adjustable Rate Mortgage Termination。Richmond, VA。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：944（臺灣：926，外國：18） ／ 本年度總使用人次：2133566 ／ 訪客人次（自102年09月）：67935139
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上