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利率模型（英文）

為了解決Swap rate formula的問題，作者(美)卡莫納 這樣論述：

介紹了The main goal of the book is to present, in a self-contained manner, the empirical facts needed to understand the sophisticated mathematical models developed by the financial mathematics community over the last decade. So after a very elementary introduction to the mechanics of the bond market,an

d a thorough statistical analysis of the data available to any curious spectator without any special inside track information, we gradually introduce the mathematical tools needed to analyze the stochastic models most widely used in the industry. Our point of view has been strongly influenced by rec

ent works of Cont and his collaborators and the Ph.D. of Filipovid. They merge the original proposal of Musiela inviting us to rewrite the HJM model as a stochastic partial differential equation, together with Bjork’’s proposal to recast the HJM model in the framework of stochastic differential equa

tions in a Baoach space. Part Ⅰ The Term Structure of Interest Rates Data and Instruments of the Term Structure of Interest Rates 1.1 Time Value of Money and Zero Coupon Bonds 1.1.1 Treasury Bills 1.1.2 Discount Factors and Interest Rates 1.2 Coupon Bearing Bonds 1.2.1 Treasury

Notes and Treasury Bonds 1.2.2 The STRIPS Program 1.2.3 Clean Prices 1.3 Term Structure as Given by Curves 1.3.1 The Spot (Zero Coupon) Yield Curve 1.3.2 The Forward Rats Curve and Duration 1.3.3 Swap Rate Curves 1.4 Continuous Compounding and Market Conventions 1.4.1 Day Count Convent

ions 1.4.2 Compounding Conventions 1.4.3 Summary 1.5 Related Markets 1.5.1 Municipal Bonds 1.5.2 Indsx Linked Bonds 1.5.3 Corporate Bonds and Credit Markets 1.5.4 Tax Issues 1.5.5 Asset Backed Securities 1.6 Statistical Estimation of the Term Structure 1.6.1 Yield Curve Estimation

1.6.2 Parametric Estimation Procedures 1.6.3 Nonparametric Estimation Procedures 1.7 Principal Component Analysis 1.7.1 Principal Components of a Random Vector 1.7.2 Multivariate Data PCA 1.7.3 PCA of the Yield Curve 1.7.4 PCA of the Swap Rate Curve Notes & Complements Term Structur

e Factor Models 2.1 Factor Models for the Term Structure 2.2 Afllne Models 2.3 Short Rate Models as One-Factor Models 2.3.1 IncompleteneSs and Pricing 2.3.2 Specific Models 2.3.3 A PDE for Numerical Purposes 2.3.4 Explicit Pricing Formulae 2.3.5 Rigid Term Structures for Calibration

2.4 Term Structure Dynamics 2.4.1 The Heath Jarrow-Morton Framework 2.4.2 Hedging Contingent Claims 2.4.3 A Shortcoming of the Finite-Rank Models 2.4.4 The Musiela Notation 2.4.5 Random Field Formulation 2.5 Appendices Notes & ComplementsPart Ⅱ Infinite Dimensional Stochastic Analysis

Infinite Dimensional Integration Theory 3.1 Introduction 3.1.1 The Setting 3.1.2 Distributions of Gaussian Processes 3.2 Ganssian Measures in Banach Spaces and Examples 3.2.1 Integrability Properties 3.2.2 Isouormal Processes 3.3 Reproducing Kernel Hilbert Space 3.3.1 RKHS of Gaussia

n Processes 3.3.2 The RKHS of the Classical Wiener Measure 3.4 Topological Supports. Carriers. Equivalence and Singularity 3.4.1 Topological Supports of Gaussian Measures 3.4.2 Equivalence and Singularity of Gaussian Measures 3.5 Series Expansions 3.6 Cylindrical Measures 3.6.1 The Can

onical (Ganssian) Cylindrical Measure of a Hilbert Space 3.6.2 Integration with Respect to a Cylindrical Measure 3.6.3 Characteristic Functions and Bochner’’s Theorem 3.6.4 Radonification of Cylindrical Measures 3.7 Appendices Notes & Complements Stochastic Analysis in Infinite Dimensions

4.1 Infinite Dimensional Wiener Processes 4.1.1 Revisiting some Known Two-Parameter Processes 4.1.2 Bannch Space Valued Wiener Process 4.1.3 Sample Path Regularity 4.1.4 Absolute Continuity Issues 4.1.5 Series Expansions 4.2 Stochastic Integral and It6 Processes 4.2.1 The Case of E*

- and H*-Valued Integrands 4.9.2 The Case of Operator Valued Integrands 4.2.3 Stochastic Convolutions 4.3 Martingale Representation Theorems 4.4 Girsanov’’s Theorem and Changes of Measures 4.5 Infinite Dimensional Ornstein Uhtenbeck Processes 4.5.1 Finite Dimensional OU Processes 4.5.2

Infinite Dimensional OU Processes 4.5.3 The SDE Approach in Infinite Dimensions 4.6 Stochastic Differential Equations Notes & Complements The Malliavin Calculus 5.1 The Malliavin Derivative 5.1.1 Various Notions of Differentiability 5.1.2 The Definition of the Malliavin Derivative 5.2

The Chain Rule 5.3 The Skorohod Integral 5.4 The Clark Ocone Formula 5.4.1 Sobolev and Logarithmic Sebolev Inequalities 5.5 Maniavin Derivatives and SDEs 5.5.1 Random Operators 5.5.2 A Useful Formula 5.6 Applications in Numerical Finance 5.6.1 Computation of the Delta 5.6.2 Computati

on of Conditional Expectations Notes & ComplementsPart Ⅲ Generalized Models for the Term Structure 6 General Models 6.1 Existence of a Bond Market 6.2 The HJM Evolution Equation 6.2.1 Function Spaces for Forward Curves 6.3 The Abstract HJM Model 6.3.1 Drift Condition and Absence of Arbit

rage 6.3.2 Long Rates Never Fall 6.3.3 A Concrete Example 6.4 Geometry of the Term Structure Dynamics 6.4.1 The Consistency Problem 6.4.2 Finite Dimensional Realizations 6.5 Generalized Bond Portfolios 6.5.1 Models of the Discounted Bond Price Curve 6.5.2 Trading Strategies 6.5.3 U

niqueness of Hedging Strategies 6.5.4 Approximate Completeness of the Bond Market 6.5.5 Hedging Strategies for Lipscbitz Claims Notes & Complements 7 Specific Models 7.1 Markovian HJM Models 7.1.1 Gaussian Markov Models 7.1.2 Assumptions on the State Space 7.1.3 Invariant Measures for

Gauss-Markov HJM Models 7.1.4 Non-Uniqueness of the Invariant Measure 7.1.5 Asymptotic Behavior 7.1.6 The Short Rate is a Maximum on Average 7.2 SPDEs and Term Structure Models 7.2.1 The Deformation Process 7.2.2 A Model of the Deformation Process 7.2.3 Analysis of the SPDE 7.2.4 Re

gularity of the Solutions 7.3 Market Models 7.3.1 The Forward Measure 7.3.2 LIBOR Rates Revisited Notes & ComplementsReferencesNotation IndexAuthor IndexSubject Index

Swap rate formula進入發燒排行的影片

海巡基層志願役人員工作環境、工作滿意度與服務品質之相關研究-以中部分署為例

為了解決Swap rate formula的問題，作者蔡君磊 這樣論述：

本研究旨在探討海洋委員會海巡署中部分署岸巡隊志願役士兵及士官工作環境、工作滿意度與服務品質關係之研究，並透過文獻探討，以問卷調查法實施實證研究，針對海巡署中部分署第三岸巡隊(苗栗、臺中、彰化)基層志願役人員(士官、士兵)進行問卷調查。本研究調查問卷共發出370份，實際回收370份，有效樣本334份，回收率達90.2%。有效樣本資料經描述性統計、獨立樣本t檢定、單因子變異數分析、皮爾森積差相關及逐步多元迴歸等統計方式執行研究分析。所得結果如下述：一、不同背景變項的基層志願役人員在工作環境有顯著差異。二、不同背景變項的基層志願役人員在工作滿意度有顯著差異。三、不同背景變項的基層志願役人員在服務品

質有顯著差異。四、工作環境與工作滿意度之間有顯著相關。五、工作環境與服務品質之間有顯著相關。六、工作滿意與服務品質之間有顯著相關。七、工作環境、工作滿意度對服務品質各構面有顯著預測力。依據上述研究結果，提供具體建議，以利海巡署基層志願役人員管理者及後續研究者參考，期待希望海巡署基層工作更完整、完善。關鍵詞：海巡署、志願役人員、工作環境、工作滿意度、服務品質

金融衍生品數學模型(英文影印本)

為了解決Swap rate formula的問題，作者郭宇權 這樣論述：

本書旨在運用金融工程方法講述模型衍生品背後的理論，作為重點介紹了對大多數衍生證券很常用的鞅定價原理。書中還分析了固定收入市場中的大量金融衍生品，強調了定價、對沖及其風險策略。 本書從著名的期權定價模型的Black-Scholes-Merton公式開始，講述衍生品定價模型和利率模型中的最新進展，解決各種形式衍生品定價問題的解析技巧和數值方法。目次：衍生品工具介紹；金融經濟和隨機計算；期權定價模型；路徑依賴期權；美國期權；定價期權的數值方案；利率模型和債券計價；利率衍生品：債券期權、LIBOR和交換產品。 Preface 1 Introduction to Derivat

ive Instruments 1.1Financial Options and Their Trading Strategies 1.1.1Trading Strategies Involving Options 1.2Rational Boundaries for Option Values 1.2.1Effects of Dividend Payments 1.2.2Put-Call Parity Relations 1.2.3Foreign Currency Options 1.3Forward and Futures Contracts

1.3.1Values and Prices of Forward Contracts 1.3.2Relation between Forward and Futures Prices 1.4Swap Contracts 1.4.1Interest Rate Swaps 1.4.2Currency Swaps 1.5Problems 2 Financial Economics and Stochastic Calculus 2.1Single Period Securities Models 2.1.1Dominant Trading Stra

tegies and Linear Pricing Measures 2.1.2Arbitrage Opportunities and Risk Neutral Probability Measures 2.1.3Valuation of Contingent Claims 2.1.4Principles of Binomial Option Pricing Model 2.2Filtrations, Martingales and Multiperiod Models 2.2.1Information Structures and Filtrations

2.2.2Conditional Expectations and Martingales 2.2.3Stopping Times and Stopped Processes 2.2.4Multiperiod Securities Models 2.2.5Multiperiod Binomial Models 2.3Asset Price Dynamics and Stochastic Processes 2.3.1Random Walk Models 2.3.2Brownian Processes 2.4Stochastic Calcu

lus: Ito’’s Lemma and Girsanov’’s Theorem 2.4.1Stochastic Integrals 2.4.2Ito’’s Lemma and Stochastic Differentials 2.4.3Ito’’s Processes and Feynman-Kac Representation Formula 2.4.4Change of Measure: Radon-Nikodym Derivative and Girsanov’’s Theorem. 2.5Problems 3 Option Pricing Mod

els: Blaek-Scholes-Merton Formulation 3.1Black-Scholes-Merton Formulation 3.1.1Riskless Hedging Principle 3.1.2Dynamic Replication Strategy 3.1.3Risk Neutrality Argument 3.2Martingale Pricing Theory 3.2.1Equivalent Martingale Measure and Risk Neutral Valuation 3.2.2Black-Scho

les Model Revisited 3.3Black-Scholes Pricing Formulas and Their Properties 3.3.1Pricing Formulas for European Options 3.3.2Comparative Statics 3.4Extended Option Pricing Models 3.4.1Options on a Dividend-Paying Asset 3.4.2Futures Options 3.4.3Chooser Options 3.4.4Compound

Options 3.4.5Merton’’s Model of Risky Debts 3.4.6Exchange Options 3.4.7Equity Options with Exchange Rate Risk Exposure 3.5Beyond the Black-Scholes Pricing Framework 3.5.1Transaction Costs Models 3.5.2Jump-Diffusion Models 3.5.3Implied and Local Volatilities 3.5.4Stocha

stic Volatility Models 3.6Problems 4 Path Dependent Options 4.1Barrier Options 4.1.1European Down-and-Out Call Options 4.1.2Transition Density Function and First Passage Time Density 4.1.3Options with Double Barriers 4.1.4Discretely Monitored Barrier Options 4.2Lookback Options

4.2.1European Fixed Strike Lookback Options 4.2.2European Floating Strike Lookback Options 4.2.3More Exotic Forms of European Lookback Options 4.2.4Differential Equation Formulation 4.2.5Discretely Monitored Lookback Options 4.3Asian Options. 4.3.1Partial Differential Equa

tion Formulation 4.3.2Continuously Monitored Geometric Averaging Options 4.3.3Continuously Monitored Arithmetic Averaging Options 4.3.4Put-Call Parity and Fixed-Floating Symmetry Relations 4.3.5Fixed Strike Options with Discrete Geometric Averaging 4.3.6Fixed Strike Options with

Discrete Arithmetic Averaging 4.4Problems 5 American Options 5.1Characterization of the Optimal Exercise Boundaries 5.1.1American Options on an Asset Paying Dividend Yield 5.1.2Smooth Pasting Condition. 5.1.3Optimal Exercise Boundary for an American Call 5.1.4Put-Call Symmetry Re

lations. 5.1.5American Call Options on an Asset Paying Single Dividend 5.1.6One-Dividend and Multidividend American Put Options 5.2Pricing Formulations of American Option Pricing Models 5.2.1Linear Complementarity Formulation 5.2.2Optimal Stopping Problem 5.2.3Integral Represen

tation of the Early Exercise Premium 5.2.4American Barrier Options 5.2.5American Lookback Options 5.3Analytic Approximation Methods 5.3.1Compound Option Approximation Method 5.3.2Numerical Solution of the Integral Equation 5.3.3Quadratic Approximation Method 5.4 Options with

Voluntary Reset Rights 5.4.1Valuation of the Shout Floor 5.4.2Reset-Strike Put Options 5.5Problems 6 Numerical Schemes for Pricing Options 7 Interest Rate Models and Bond Pricing 8 Interest Rate Derivatives: Bond Options, LIBOR and Swap Products References Author Index Subject Index

可贖回CMS價差區間計息型商品之評價分析：基於LFM與最小平方蒙地卡羅法之模擬加速實證

為了解決Swap rate formula的問題，作者王韋之 這樣論述：

本研究使用對數常態遠期利率市場模型與最小平方蒙地卡羅法，對沒有封閉解之可贖回固定期限交換利率價差區間計息商品進行評價。透過市場資料建構殖利率曲線與遠期利率曲線，而後基於對數常態遠期利率市場模型之動態過程，將其離散化後進行遠期利率模擬並計算遠期交換利率，最後使用最小平方蒙地卡羅法求解商品價值。本研究利用市場資料估計校準參數，基於兩種波動度結構與兩種實務上常用之相關係數假設進行模擬。此外，在結合Python平行運算的基礎上，整體的評價計算與模擬速度得到較大提升。