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題名:Surplus Management under a Stochastic Process: Asset Allocation within a State-security Approach
書刊名:輔仁管理評論
作者:邱嘉洲李賢源
作者(外文):Chiu, Chia-chouLee, Shyan-yuan
出版日期:2021
卷期:28:2
頁次:頁1-22
主題關鍵詞:盈餘管理資產配置策略狀態證券Surplus managementAsset allocationState contingent claim
原始連結:連回原系統網址new window
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  • 點閱點閱:203
期刊論文
1.Brace, Alan、Gatarek, Dariusz、Musiela, Marek(1997)。The Market Model of Interest Rate Dynamics。Mathematical Finance,7(2),127-155。  new window
2.Tzeng, L. Y.、Wang, J. L.、Soo, J. H.(2000)。Surplus Management under a Stochastic Process。Journal of Risk and Insurance,67(3),451-462。  new window
3.Hull, J.、White, A.(1990)。Pricing Interest Rate Derivative Securities。The Review of Financial Studies,3(4),573-592。  new window
4.Black, F.、Karasinski, P.(1991)。Bond and option pricing when short rates are lognormal。Financial Analysts Journal,47(4),52-59。  new window
5.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
6.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
7.Fisher, L.、Weil, R. L.(1971)。Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies。The Journal of Business,44(4),408-431。  new window
8.Redington, F. M.(1952)。Review of the Principle of Life-office Valuations。Journal of the Institute of Actuaries,78(3),286-340。  new window
9.Bierwag, G. O.、Kaufman, G. G.(1977)。Coping with the Risk of Interest Rate Fluctuations: A Note。Journal of Business,50(3),364-370。  new window
10.Bierwag, G. O.(1977)。Immunization, duration, and the term structure of interest rates。The Journal of Financial and Quantitative Analysis,12(5),725-742。  new window
11.Boyle, P. P.(1978)。Immunization under stochastic models of the term structure。Journal of the Institute of Actuaries,105(2),177-187。  new window
12.Jamshidian, F.(1991)。Forward induction and construction of yield curve diffusion models。The Journal of Fixed Income,1(1),62-74。  new window
13.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
14.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
15.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
16.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
17.Chiu, C. C.、Lee, S. Y.(2007)。Surplus Management under a Stochastic Process: A Scenarios-based Asset Allocation Strategy。NTU Management Review,17(2),1-40。  new window
 
 
 
 
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