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題名:相對權益連結型報酬率保證之評價--在單幣別/跨幣別架構下
書刊名:期貨與選擇權學刊
作者:謝宗佑周奇勳
作者(外文):Hsieh, Tsung-yuChou, Chi-hsun
出版日期:2015
卷期:8:3
頁次:頁45-96
主題關鍵詞:相對保證權益連結型保證單幣別跨幣別LMM利率模型Relative guaranteeEquity-linked guaranteeSingle-currencyCross-currencyLMMLibor Market Model
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(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:2
  • 點閱點閱:19
期刊論文
1.Bakken, H.、Lindset, S.、Olson, L. H.(2006)。Pricing of Multiperiod Rate of Return Guarantees: The Monte Carlo Approach。Insurance: Mathematics and Economics,39,135-149。  new window
2.Grosen, Anders、Jørgensen, Peter Løchte(2000)。Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies。Insurance: Mathematics and Economics,26(1),37-57。  new window
3.謝宗祐、陳松男(20100600)。Pricing Interest Rate Guarantee Embedded in Defined Contribution Pension Plans under the LIBOR Market Model。財務金融學刊,18(2),27-64。new window  new window
4.Hsieh, T. Y.、Chen, S. N.(2014)。Valuation of Guaranteed Contracts Set Relative to Cross-currency Stochastic Rates of Return。Asia-Pacific Journal of Financial Studies,43(4),589-619。  new window
5.Miltersen, K. R.、Persson, S. A.(1999)。Pricing Rate of Return Guarantee in a Heath-Jarrow-Morton Framework。Insurance: Mathematics and Economics,25,307-325。  new window
6.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
7.Brace, Alan、Gatarek, Dariusz、Musiela, Marek(1997)。The Market Model of Interest Rate Dynamics。Mathematical Finance,7(2),127-155。  new window
8.Boyle, P. P.、Hardy, M. R.(1997)。Reserving for Maturity Guarantees: Two Approaches。Insurance: Mathematics and Economics,21(2),113-127。  new window
9.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
10.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
11.Grosen, A.、Jørgensen, P. L.(1997)。Valuation of Early Exercisable Interest rate Guarantees。Journal of Risk and Insurance,64(3),481-503。  new window
12.Hansen, M.、Miltersen, K. R.(2002)。Minimum Rate of Return Guarantees: the Danish Case。Scandinavian Actuarial Journal,4,280-318。  new window
13.Harrison, J. M.、Kreps, D. M.(1979)。Martingales and Arbitrage in Multiperiod Securities Markets。Journal of Economic Theory,20(3),381-408。  new window
14.Lindset, S.(2003)。Pricing of multi-period rate of return guarantees。Insurance: Mathematics and Economics,33,629-644。  new window
15.Lindset, Snorre(2004)。Relative Guarantees。The Geneva Papers on Risk and Insurance Theory,29(2),187-209。  new window
16.Pennacchi, G. G.(1999)。The Value of Guarantees on Pension Fund Returns。Journal of Risk and Insurance,66,219-237。  new window
17.Rebonato, R.(1999)。On the Simultaneous Calibration of Multifactor Lognormal Interest Rate Models to Black Volatilities and to the Correlation Matrix。The Journal of Computational Finance,2(4),5-27。  new window
18.Schlogl, E.(2002)。A Multicurrency Extension of the Lognormal Interest Rate Market Models。Finance and Stochastics,6(2),173-188。  new window
19.Wu, T. P.、Chen, S. N.(2007)。Cross-currency Equity Swaps with the BGM Model。Journal of Derivatives,15(2),60-76。  new window
20.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
21.Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A theory of the term structure of interest rates。Econometrica,53(2),385-407。  new window
22.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
23.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
24.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
25.Margrabe, William(1978)。The Value of an Option to Exchange One Asset for Another。The Journal of Finance,33(1),177-186。  new window
26.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
會議論文
1.Brace, A.、Dun, T. A.、Barton, G.(1998)。Towards a Central Interest Rate Model。The Conference Global Derivatives'98。  new window
2.Brace, A.、Womersley, R. S.(2000)。Exact Fit to the Swaption Volatility Matrix Using Semidefmite Programming。The ICBI Global Derivatives Conference。  new window
圖書
1.Shreve, Steven E.(2004)。Stochastic Calculus for Finance II: Continuous-Time Models。New York:Springer Verlag。  new window
2.Svoboda, S.(2004)。Interest Rate Modelling。New York:Palgrave Macmillan。  new window
3.Walker, K. L.(1992)。Guaranteed Investment Contracts: Risk Analysis and Portfolio Strategies。Illinois:Business One Irwin。  new window
4.Musiela, M.、Rutkowski, M.(2005)。Martingale Methods in Financial Modelling。Heidelberg:Springer Verlag。  new window
 
 
 
 
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