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題名:Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model
書刊名:財務金融學刊
作者:謝宗祐陳松男
作者(外文):Hsieh, Tsung-yuChen, Son-nan
出版日期:2010
卷期:18:2
頁次:頁27-64
主題關鍵詞:利率保證LIBOR市場模型確定提撥制退休金計畫Interest rate guaranteeLIBOR market modelDefined contribution pension plans
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(3) 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:3
  • 共同引用共同引用:0
  • 點閱點閱:33
期刊論文
1.Miltersen, Kristian R.、Sandmann, Klaus、Sondermann, Dieter(1997)。Closed Form Solutions for Term Structure Derivatives with Log-normal Interest Rates。The Journal of Finance,52(1),409-430。  new window
2.Grosen, A.、Jorgensen, P. L.(2000)。Fair valuation of life insurance liabilities: the impact of interest guarantees, surrender options, and bonus policies。Insurance: Mathematics and Economics,26,37-57。  new window
3.Amin, K. I.、Jarrow, R. A.(1991)。Pricing Foreign Currency Options under Stochastic Interest rates。Journal of International Money and Finance,10(3),310-329。  new window
4.Brace, Alan、Gatarek, Dariusz、Musiela, Marek(1997)。The Market Model of Interest Rate Dynamics。Mathematical Finance,7(2),127-155。  new window
5.Boyle, P. P.、Hardy, M. R.(1997)。Reserving for Maturity Guarantees: Two Approaches。Insurance: Mathematics and Economics,21(2),113-127。  new window
6.Boyle, P. P.、Schwartz, E. S.(1977)。Equilibrium Prices of Guarantees Under Equity-Linked Contracts。Journal of Risk and Insurance,44(4),639-660。  new window
7.Brennan, Michael J.、Schwartz, Eduardo S.(1976)。The Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee。Journal of Financial Economics,3(3),195-213。  new window
8.Grosen, A.、Jørgensen, P. L.(1997)。Valuation of Early Exercisable Interest rate Guarantees。Journal of Risk and Insurance,64(3),481-503。  new window
9.Hansen, M.、Miltersen, K. R.(2002)。Minimum Rate of Return Guarantees: the Danish Case。Scandinavian Actuarial Journal,4,280-318。  new window
10.Lindset, S.(2003)。Pricing of multi-period rate of return guarantees。Insurance: Mathematics and Economics,33,629-644。  new window
11.Lindset, Snorre(2004)。Relative Guarantees。The Geneva Papers on Risk and Insurance Theory,29(2),187-209。  new window
12.Pennacchi, G. G.(1999)。The Value of Guarantees on Pension Fund Returns。Journal of Risk and Insurance,66,219-237。  new window
13.Schlogl, E.(2002)。A Multicurrency Extension of the Lognormal Interest Rate Market Models。Finance and Stochastics,6(2),173-188。  new window
14.Wu, T. P.、Chen, S. N.(2007)。Cross-currency Equity Swaps with the BGM Model。Journal of Derivatives,15(2),60-76。  new window
15.Yang, S. S.、Yueh, M. L.、Tang, C. H.(2008)。Valuation of the Interest Rate Guarantee Embedded in Defined Contribution Pension Plans。Insurance: Mathematics and Economics,42,920-934。  new window
16.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
17.Ekern, S.、Persson, S. A.(1996)。Exotic Unit-linked Life Insurance Contracts。The Geneva Papers on Risk and Insurance Theory,21,35-63。  new window
18.Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。  new window
19.Persson, S.-A.、Aase, K. K.(1997)。Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products。Journal of Risk and Insurance,64,599-617。  new window
20.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
21.Margrabe, William(1978)。The Value of an Option to Exchange One Asset for Another。The Journal of Finance,33(1),177-186。  new window
22.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
23.Bakken, H.、Lindset, S.、Olson, L. H.(2006)。Pricing of Multi-period Rate of Return Guarantees: The Monte Carlo Approach。Insurance: Mathematics and Economics,39,135-149。  new window
24.Miltersen, K. R. and Persson, S. A.,(1999)。Pricing Rate of Return Guarantee in a Heath-Jarrow-Morton Framework。Insurance: Mathematics and Economics,25,307-325。  new window
25.Musiela, M., and Rutkowski, M.,(1997)。Continuous-time Term Structure Model: Forward Measure Approach。Finance and Stochastics,4,261-292。  new window
26.Rogers, C.,(1996)。Gaussian Errors。Risk,9,42-45。  new window
27.Wu, T. P. and Chen, S. N.,(2007)。Equity Swaps in a LIBOR Market Model。Journal of Futures Markets,27,893-920。  new window
會議論文
1.Brace, A., Dun, T.A., and Barton, G..,(1998)。Towards a Central Interest Rate Model。  new window
2.Brace, A., and Womersley, R. S.,(2000)。Exact Fit to the Swaption Volatility Matrix Using Semidefinite Programming。  new window
研究報告
1.Continuous Mortality Investigation Bureau(1999)。Standard Tables of Mortality Based on the 1991-1994 Experiences。UK:The Institute and Faculty of Actuaries。  new window
圖書
1.Svoboda, S.(2004)。Interest Rate Modelling。New York:Palgrave Macmillan。  new window
2.Walker, K. L.(1992)。Guaranteed Investment Contracts: Risk Analysis and Portfolio Strategies。Illinois:Business One Irwin。  new window
3.Musiela, M.、Rutkowski, M.(2005)。Martingale Methods in Financial Modelling。Heidelberg:Springer Verlag。  new window
4.Shreve, S. E.,(2004)。Stochastic Calculus for Finance II Continuous –Time Models。New York。  new window
 
 
 
 
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