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題名:隨機利率模型下,與物價指數連動並具有信用風險之票券的評價與避險
書刊名:中山管理評論
作者:陳芬英 引用關係陳靖
作者(外文):Chen, Fen-yingChen, Ching
出版日期:2011
卷期:19:2
頁次:頁279-304
主題關鍵詞:通膨風險信用風險HJM模型信用價差避險Inflation riskCredit riskHJM modelCredit spreadHedging
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 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:0
  • 共同引用共同引用:0
  • 點閱點閱:14
期刊論文
1.Cathcart, Lara、El-Jahel, Lina(1998)。Valuation of defaultable bonds。The Journal of Fixed Income,8(1),65-78。  new window
2.Reiner, E.、Rubinstein, M.(1991)。Breaking Down the Barriers。Risk Magazine,4(8),28-35。  new window
3.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
4.Longstaff, Francis A.、Schwartz, Eduardo S.(1995)。A Simple Approach to Valuing Risky Fixed and Floating Rate Debt。Journal of Finance,50(3),789-819。  new window
5.Geske, R.(1977)。The Valuation of Corporate Liabilities as Compound Options。Journal of Financial and Quantitative Analysis,12(4),541-552。  new window
6.Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。  new window
7.Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,29(2),449-470。  new window
8.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
9.Jarrow, R.、Yildirim, Y.(2003)。Pricing Treasury Inflation Protected Securities and Related Derivatives Using an HJM Model。Journal of Financial and Quantitative Analysis,38(2),337-358。  new window
10.Jarrow, R.、Lando, D.、Turnbull, S.(1997)。A Markov Model for the Term Strucutre of Credit Risk Spread。The Review of Financial Studies,10(2),481-523。  new window
11.Lando, D.(1998)。On Cox Process and Credit Risky Securities。Review of Derivatives,2(2/3),99-120。  new window
12.Barr, D. G.、Campbell, J. Y.(1997)。Inflation, Real Interest Rates, and the Bond Market: a Study of UK Nominal and Index-Linked Government Bond Prices。Journal of Monetary Economics,39(3),361-383。  new window
13.Black, F.、Cox, J. C.(1976)。Valuiing Corporate Securities: Some Effects of Bond Indenture Provisions。Journal of Finance,31(2),351-367。  new window
14.Brown, R.、Schaefer, S.(1994)。The Term Strucutre of Real Interest Rates and the Cox, Ingersoll, and Ross Model。Journal of Financial Economics,35(1),3-42。  new window
15.Health, D.、Jarrow, R. A.、Morton, A.(1992)。Bond Pricing and the Term Strucutre of Interest Rates: a New Methodology for Contingent Claim Valuation。Econometrica,60(1),77-105。  new window
16.Jarrow, R.、Turnbull, S.(1995)。Pricing Derivatives on Financial Securities and Related Derivatives Using an HJM Model。Journal of Financial and Quantitative Analysis,38(2),337-358。  new window
17.Moraux, F.(2004)。A Closed Form Solution for Pricing Defaultable Bonds。Finance Research Letters,1(2),135-142。  new window
18.Roll, R.(1996)。Treasury Inflation-Indexed Bonds: the Design of a New Security。Journal of Fixed Incom,6(3),9-28。  new window
19.Vasicek, O.(1977)。An Equilibrum Characterization of the Term Strucuture。Journal of Financial Economics,5(2),177-188。  new window
20.Woodward, T.(1990)。The Real Thing: a Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom。Journal of Business,63(3),373-398。  new window
 
 
 
 
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