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Dissertations / Theses on the topic 'Forward rate'

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Published: 4 June 2021

Last updated: 25 April 2022

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1

Davey, O. L. ""How the forward exchange rate is determined" /." Title page, contents and introduction only, 1987. http://web4.library.adelaide.edu.au/theses/09EC/09ecd248.pdf.

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2

Chatterjee, Devalina. "Three Essays in Forward Rate Unbiasedness Hypothesis." DigitalCommons@USU, 2010. https://digitalcommons.usu.edu/etd/644.

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The objective of this dissertation is to verify and explain the forward exchange rate unbiasedness hypothesis in the foreign exchange market. Since in most of the cases the unbiasedness hypothesis fails to hold, we try to provide three different explanations of this puzzling behavior in the three essays. The first essay tries to resolve the forward premium puzzle by addressing the model misspecification issue and thereby adding a time-varying risk premium term in the percentage change specification. The risk premium term is modeled using the GARCH-M representation and the model is estimated by

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3

Lin, Jigeng. "Forward market efficiency and foreign exchange rate determination." Diss., The University of Arizona, 1994. http://hdl.handle.net/10150/186807.

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This dissertation studies the simple efficiency hypothesis, which states that the forward exchange rate is an unbiased and efficient predictor of the future spot exchange rate. This hypothesis has been extensively tested, and is overwhelmingly rejected. However, researchers are unable to determine the exact cause of rejections since it is the result of joint assumptions of risk neutrality and rational expectations. An interest rate differential model is developed assuming that the spot rate follows a random walk process and the covered interest rate parity condition holds. In this model, the s

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4

Schneider, Philipp. "An Empirical Analysis of Forward Rate Trading Strategies." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01653880003/$FILE/01653880003.pdf.

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5

Waeger, Lukas. "Bond Management unter Berücksichtigung der Forward Rate Anomalie." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02603678002/$FILE/02603678002.pdf.

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6

Corr, Anthony School of Mathematics UNSW. "Finite dimensional representability of forward rate and LIBOR models." Awarded by:University of New South Wales. School of Mathematics, 2000. http://handle.unsw.edu.au/1959.4/17606.

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This thesis examines finite dimensional representability of Forward Rate and LIBOR models. A new approach is examined. This approach is more general, elementary, and relevant to finance when compared with existing approaches. This new approach is applied to the following infinite dimensional equations used in finance: ?Gaussian Heath, Jarrow and Morton model; ?Free 1 Heath, Jarrow and Morton model; ?Brace, G?atarek and Musiela???s LIBOR model. Stronger results have been achieved using this approach. The results are as follows: ?The Gaussian HJM model can be represented in finite dimensions if

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7

Costa, Ana Rita Pita Groz. "Ultimate forward rate e Planos e Fundos de Pensões." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11224.

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Mestrado em Matemática Financeira<br>A avaliação de planos e fundos de pensões pressupõe a atualização de cash-flows que ocorrem no muito longo prazo, tornando obrigatória a estimação das taxas de desconto, para todas as maturidades em causa, de modo a refletir o valor temporal do dinheiro, de forma adequada. Em Solvência II, a Estrutura Temporal das Taxas de Juro deve ser obtida recorrendo à metodologia macroeconómica de Smith & Wilson [2001] pois garante resultados estáveis no muito longo prazo. Esta estabilidade é conseguida através da convergência das taxas forward assim estimadas para a

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8

Handschin, Marco. "Exploiting the Forward Rate Bias in the Swiss Money Market An Arbitrage Strategy /." St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/00924878001/$FILE/00924878001.pdf.

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9

Bi, Yu. "Achievable rate for Amplify-and-Forward relay system at low SNR." Thesis, Wichita State University, 2011. http://hdl.handle.net/10057/3943.

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In this thesis, the achievable rate at low SNR is established for Amplify-and-Forward (AF) cooperative system with a source node, a destination node and a relay node. To characterize the effect of relay locations, an aggregate channel model which consists of both long-term path loss and short-term path loss fading is used. To consider the effect of channel information at the relay, average and instantaneous power constraints are applied respectively when evaluating the achievable rate. As analytic solutions to the achievable rate seem difficult to obtain, approximations for the achievable rate

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10

Altay, Suhan. "On Forward Interest Rate Models: Via Random Fields And Markov Jump Processes." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/12608342/index.pdf.

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The essence of the interest rate modeling by using Heath-Jarrow-Morton framework is to find the drift condition of the instantaneous forward rate dynamics so that the entire term structure is arbitrage free. In this study, instantaneous forward interest rates are modeled using random fields and Markov Jump processes and the drift conditions of the forward rate dynamics are given. Moreover, the methodology presented in this study is extended to certain financial settings and instruments such as multi-country interest rate models, term structure of defaultable bond prices and forward measures. A

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11

Gerhart, Christoph [Verfasser], and Ernst [Akademischer Betreuer] Eberlein. "A multiple-curve Lévy forward rate model in a two-price economy." Freiburg : Universität, 2016. http://d-nb.info/1122647689/34.

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12

Wong, Alan 1954. "Futures-Forward Price Differences and Efficiency in the Treasury Bill Futures Market." Thesis, North Texas State University, 1986. https://digital.library.unt.edu/ark:/67531/metadc330688/.

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This study addressed two issues. First, it examined the ability of two models, developed by Cox, Ingersoll and Ross (CIR), to explain the differences between futures and implicit forward prices in the thirteen-week T-bill market. The models imply that if future interest rates are stochastic, futures and forward prices differ; the structural difference is due to the daily settlement process required in futures trading. Second, the study determined the efficiency of the thirteen-week T-bill futures market using volatility and regression tests. Volatility tests use variance bounds to examine whet

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13

Pénicaud, Michel. "Iterative decoding for rate adaptive forward error correction on the mobile satellite channel." Thesis, University of Ottawa (Canada), 1996. http://hdl.handle.net/10393/10169.

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In this thesis, we examine rate adaptive forward error correction codes for the mobile satellite channel. We are especially interested in codes that can be iteratively decoded. Multilevel coded modulations are considered: partitioning of constellations, coding principle and iterative decoding are studied. We present design rules for multilevel coded modulations through the asymptotic coding gain, the minimum Hamming distance of the code and with information theory arguments. Computer simulations have been run to confirm the validity of the design rules and to determine the impact of the interl

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14

Wanga, Godwill George. "Hedging Exchange Rate Risks." ScholarWorks, 2017. https://scholarworks.waldenu.edu/dissertations/3373.

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Risks associated with fluctuating exchange rates affect investment cost and investor profitability. Approximately 50% of firms in emerging markets have significant exposure to fluctuating exchange rates. Grounded in principal-agent theory (PAT), the purpose of this case study was to explore hedging strategies to mitigate risks of fluctuating exchange rates. The population comprised a census sampling of 12 bank hedgers (risk managers and controllers) in Dar es Salaam in Tanzania, East Africa. Data collection involved semistructured interviews, casual observations of the work environment, and an

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15

Blasco-Serrano, Ricardo, Ragnar Thobaben, Vishwambhar Rathi, and Mikael Skoglund. "Polar codes for compress-and-forward in binary relay channels." KTH, Kommunikationsteori, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-43727.

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We construct polar codes for binary relay channels with orthogonal receiver components. We show that polar codes achieve the cut-set bound when the channels are symmetric and the relay-destination link supports compress-and-forward relaying based on Slepian-Wolf coding. More generally, we show that a particular version of the compress-and-forward rate is achievable using polar codes for Wyner-Ziv coding. In both cases the block error probability can be bounded as O(2-Nβ) for 0 < β < 1/2 and sufficiently large block length N.<br><p>© 2010 IEEE. Personal use of this material is permitted.

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16

MENEZES, FELIPE DA COSTA MENDES O. DE. "FORWARD EXCHANGE RATE AND SPOT EXCHANGE RATE: ASSESSING THE SIGNIFICANCE OF SOME POSSIBLE EXPLAINING VARIABLES IN BRAZILIAN EXCHANGE MARKET (BRAZILIAN REAL/DOLLAR)." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2017. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=32350@1.

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Teorias internacionais na área de economia e finanças acreditam em uma relação significante entre o mercado cambial futuro e o mercado cambial à vista. Se esta afirmação for verdadeira, isto significa que os valores negociados no mercado futuro seriam bons previsores dos valores que viriam a ser negociados no mercado à vista em uma data futura. No entanto, diversos estudos e dados empíricos revelam que este evento não se mostra fiel no mercado cambial brasileiro (Real/Dólar) bem como em outros mercados cambiais internacionais, em especial nos principais mercados europeus. A justificativa para

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17

Tran, Tuyen X. "Achievable Rate and Capacity of Amplify-and-Forward Multi-Relay Networks with Channel State Information." University of Akron / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=akron1376743091.

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18

Teixeira, Klaus Nery. "Estratégias de investimento utilizando cointegração na curva de juros brasileira." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2016. http://hdl.handle.net/10183/149519.

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Diversos são os benefícios e objetivos de um profundo entendimento técnico do comportamento das taxas de juros, tanto de uma economia madura como de uma emergente. Do planejamento à execução de política monetária e da criação de cenários econômicos para tomada de decisão à alocação de recursos baseada somente nesses cenários, esses agentes podem fazer uso do arcabouço teórico que embasa as diferentes hipóteses de mercados eficientes e expectativas racionais, bem como do prêmio de risco, entre outras. Diante desse contexto, faz-se necessário estar em constante contato com o que a comunidade aca

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19

Paiva, Luciano Rodrigues. "Os efeitos da transparência e da clareza do Banco Central do Brasil sobre a volatilidade das taxas de juros de longo prazo." Universidade Federal de Juiz de Fora (UFJF), 2017. https://repositorio.ufjf.br/jspui/handle/ufjf/5434.

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Submitted by isabela.moljf@hotmail.com (isabela.moljf@hotmail.com) on 2017-07-04T12:31:19Z No. of bitstreams: 1 lucianirodriguespaiva.pdf: 1708723 bytes, checksum: 6cb4ce038cd3c7ff8ca7f499d9facdb3 (MD5)<br>Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2017-08-08T14:47:17Z (GMT) No. of bitstreams: 1 lucianirodriguespaiva.pdf: 1708723 bytes, checksum: 6cb4ce038cd3c7ff8ca7f499d9facdb3 (MD5)<br>Made available in DSpace on 2017-08-08T14:47:17Z (GMT). No. of bitstreams: 1 lucianirodriguespaiva.pdf: 1708723 bytes, checksum: 6cb4ce038cd3c7ff8ca7f499d9facdb3

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20

Arabi, Alireza, and Maziar Saei. "Simple foreign currency option Hedge strategies A comparison of Option contracts versus Forward contracts." Thesis, Mälardalens högskola, Akademin för hållbar samhälls- och teknikutveckling, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-9977.

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The use of currency options has been grown widely during the latest years. This paper tries to answer whether hedge strategies using currency options are superior to forward exchange contracts or not.

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21

Akita, Shigeyuki, and Hiroshi Maruyama. "An extended yield curve model for bond option pricing using a Jump/Garch-m forward rate process." Thesis, Massachusetts Institute of Technology, 1991. http://hdl.handle.net/1721.1/38341.

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22

Jayasundera, T. (Thanushka). "Persistence and predictability of forward exchange arbitrage in managed rate currencies in comparison to free-floating currencies." Master's thesis, University of Oulu, 2014. http://urn.fi/URN:NBN:fi:oulu-201406101743.

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This paper attempts to analyse whether forward exchange arbitrage in currencies of managed rate regimes behave differently from currencies of free floating regimes in the forward exchange market. For this purpose, currencies of Great Britain, the European Union, and Japan are used as proxy currencies for free floating currencies. Proxy currencies for managed rate currencies are the Sri Lankan Rupee, the Indian Rupee, the Russian Rouble and the Brazilian Real. The US dollar is used as the anchor currency for both sets of currencies. The core of the paper revolves around the pricing difference

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23

Stein, Christine. "The Renminbi Challenge: Is a Revaluation of the Chinese Currency a Wise Step Forward?" Thesis, University of Skövde, School of Technology and Society, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-121.

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<p>The aim of this paper is to investigate if a revaluation of the Chinese renminbi is in China’s interest and whether or not a renminbi revaluation can contribute to correct the US current account deficit. For that purpose, advantages and disadvantages of a revaluation for China are discussed. Furthermore, the fundamental causes of the US current account deficit are analysed to evaluate to what extent a renminbi revaluation can correct this imbalance. The discussion is based on previous research in this area. The main result is that a revaluation of the Chinese renminbi is primarily beneficia

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24

Webley, Kayonne. "A LOOK AT CELLULAR PACKET DATA PERFORMANCE FOR APPLICATION IN iNET." International Foundation for Telemetering, 2005. http://hdl.handle.net/10150/604900.

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ITC/USA 2005 Conference Proceedings / The Forty-First Annual International Telemetering Conference and Technical Exhibition / October 24-27, 2005 / Riviera Hotel & Convention Center, Las Vegas, Nevada<br>The integrated Network Enhanced Telemetry (iNET) environment is meant to build and improve on the existing unidirectional legacy telemetry links. The optimized network would have to be capable of providing bi-directional, spectrally efficient, reliable, dynamically allocated, real time or near real time access to video and other types of test data over a shared bandwidth, high capacity network

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25

Garcia, Guilherme Maia. "Eficiência do mercado implícito de câmbio a termo no Brasil." Universidade de São Paulo, 2003. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-30082004-141633/.

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Neste estudo, é testada empiricamente a hipótese de eficiência no mercado a termo de câmbio brasileiro, para o período recente de flutuação cambial. A freqüência dos dados é diária, e as taxas a termo são construídas com base no mercado de swaps. É utilizado um método de estimação semi-paramétrico e estatisticamente robusto no contexto de distribuições com caudas pesadas. Este método ainda permite que se trabalhe com séries não-estacionárias no nível (sem diferenciar) e com observações sobrepostas (quando o prazo do contrato a termo excede o intervalo entre as observações da amostra). A hipóte

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26

Veskoukis, Andreas, and Anna Willman. "Is Swedish monetary policy current or forward-looking? : A study using Taylor rules to explain the setting of the repo rate." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-375913.

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The purpose of this paper is to examine how a current-looking Taylor rule explains the setting of the repo rate by the Riksbank between 1995-2018 vis-à-vis a forward-looking Taylor rule. Furthermore, we investigate whether the explanatory power of these rules change after the financial crisis. The implied Taylor rates are calculated using our own estimates of the natural rate of interest. These rates are then plotted on a graph creating a span of uncertainty in which the repo rate can be set between. Finally, we regress the repo rate on the Taylor rates. In this way, we examine which rule is m

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27

Hyll, Magnus. "Essays on the term structure of interest rates." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 2000. http://www.hhs.se/efi/summary/548.htm/.

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28

Pereda, C. Javier. "Estimación de la curva de rendimiento cupón cero para el Perú y su uso para el análisis monetario." Economía, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/117068.

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This paper estimates the zero coupon yield curve for the Peruvian government bond market. We employ two methods of estimation proposed by Nelson y Siegel (1987) and Svensson (1994). Model performance is evaluated based on criteria of goodness of fit, flexibility and parameter stability, by using alternative objective functions for parameter estimation. The Svensson model shows on average a better adjustment; however, parameter estimates are more unstable when data availability is limited —for example when there is a small number of transactions in the secondary market— in which case is better

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29

Van, Heerden Petrus Marthinus Stephanus. "The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4511.

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The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, inclu

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30

He, Jun. "THE APPLICATION OF LAST OBSERVATION CARRIED FORWARD (LOCF) IN THE PERSISTENT BINARY CASE." VCU Scholars Compass, 2014. http://scholarscompass.vcu.edu/etd/3621.

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The main purpose of this research was to evaluate use of Last Observation Carried Forward (LOCF) as an imputation method when persistent binary outcomes are missing in a Randomized Controlled Trial. A simulation study was performed to see the effect of dropout rate and type of dropout (random or associated with treatment arm) on Type I error and power. Properties of estimated event rates, treatment effect, and bias were also assessed. LOCF was also compared to two versions of complete case analysis - Complete1 (excluding all observations with missing data), and Complete2 (only carrying forw

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31

Soares, Nuno Filipe de Almeida. "Modeling of lifetime probability of default and forward-looking adjustment." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/14963.

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Mestrado em Mathematical Finance<br>A 1 de Janeiro de 2018, a nova norma contabilística para instrumentos financeiros, IFRS 9 Financial Instruments, tornar-se-á obrigatória. Convergendo as necessidades da crise de 2007 para mudanças técnicas, o seu objetivo é alinhar a contabilidade com a gestão de risco. Uma das principais adaptações é o novo modelo de imparidade, que passa de "perdas incorridas" na IAS 39 para "perdas esperadas" na IFRS 9. Para fazer essa transição, é necessário incorporar informação forward-looking nas estimações. Neste caso, a incorporação necessitava de ser feita para as

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32

Riga, Candia. "The Libor Market Model: from theory to calibration." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2011. http://amslaurea.unibo.it/2288/.

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This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justi

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Moh, Young-Kyu. "Exchange rate dynamics in a continuous-time model of uncovered interest parity with central bank intervention." Connect to this title online, 2003. http://www.gbv.de/dms/zbw/557909902.pdf.

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Flídrová, Kristýna. "Možnosti redukce kurzového rizika ve společnosti FLÍDR, s.r.o." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2009. http://www.nusl.cz/ntk/nusl-222061.

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Master´s thesis deals with possibilities of exchange rates risk reduction in the company FLÍDR, s.r.o. Exchange rate volatility has begun to be a serious problem of many business entities. Unfortunately, the Czech Republic will not join Economic and Monetary Union of the European Union for longer time. The outcome of Master´s thesis is the suggestion of utilization of financial derivatives and proposal of new financial derivatives. Proposed financial derivatives are composed to minimize exchange rate risk in the company FLÍDR, s.r.o., and to minimize losses caused by exchange rate volatility o

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Nohrouzian, Hossein. "An Introduction to Modern Pricing of Interest Rate Derivatives." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28415.

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This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. Moreover, the construction of interest rate models (term-structure models), pricing of bonds and interest rate derivatives, using both equilibrium and no-arbitrage approaches are discussed, compared and contrasted. Further, we look at the HJM framework and the LMM model to evaluate and simulate forward curves and find the forward rates as t

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Lin, Huey-Jen, and 林慧貞. "Fitting Forward Rate Curves and Pricing Interest Rate Swaptions." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/52057259202233144788.

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博士<br>國立臺灣大學<br>財務金融學研究所<br>87<br>This study shows a comprehensive discussion on using the tree method to price interest rate derivatives. This includes the process which begins with choosing a suitable interest rate model, fitting the yield curves or forward rate curves as the input data for a tree, pricing the interest rate derivatives, taking interest rate swaptions for example, to their sensitivity analyses. The main purposes of this study are presented as following : 1、 Explore the issue of fitting yield curves and forward rate curves. Further analysis on the theoretical essenc

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MingYi, Chou, and 周明儀. "Forward exchange rate price and deposit." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/71265511357782782240.

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Cheng, Liau-Yu, and 廖育成. "The Relationship Between Spot Exchange Rate and Forward Exchange Rate." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/26165122566416876473.

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碩士<br>淡江大學<br>財務金融學系<br>89<br>Title of Thesis : The Relationship Between Spot Exchange Rate Total Pages:98 and Forward Exchange Rate Name of Institute : Graduate Institute of Money, Banking and Finance,Tamkang University,Graduate Date : June 2001 Degree Conferred : MasterName of Student : Liau-Yu Cheng Advisor : Dr. Jiann-Liang Chiu 廖育成邱建良Abstract：This purpose of this study is to examine the relationship between spot exchange rate and forward exchange rate among nine countries (Canada, United K

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Cheng, Chung, and 鍾誠. "A Reexamination of Forward Rate Unbiasedness Hypothesis." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/79645957242054151296.

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碩士<br>世新大學<br>財務金融學研究所(含碩專班)<br>98<br>The “Unbiased Forward Rate Hypothesis” (UFH) states that the forward exchange rate of any foreign currency must be an unbiased predictor of the future spot rate. According to market efficiency hypothesis, the long-run relationship wound exist between spot exchange rate and forward exchange rate as foreign exchange markets are efficient. In the purpose of this study is to re-examine the relationship between spot and forward exchange rates of five countries by cointegration theory. Our investigations reveal that the results of cointegration relationships exi

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Lin, Mei-Chun, and 林玫君. "Fitting Forward Rate Curve with Maximum Smoothness." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/87646425105173499762.

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碩士<br>國立臺灣大學<br>財務金融學研究所<br>89<br>Two approaches of fitting forward rate curves are explored in this essay, including the maximum smoothness approach proposed by Adams and Deventer and the approach of deriving implied forward rates from the current term structure of commercial paper prices. Two main topics are studied: (1) which forward rate curve is more smooth and reasonable? (2) which curves’ forward rates have more effective forecasting power about the future spot rates? Since the bill yield curve doesn't close to the flat yield curve as maturity is long in Adams and Deventer m

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Lai, Shiou-Fong, and 賴秀鳳. "The Relationship between Taiwanese Dollar Forward Rates and Chinese Yuan Spot Rate." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/36692574294658547286.

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碩士<br>亞洲大學<br>財務金融學系碩士在職專班<br>104<br>Recently, global investors focus on Chinese Yuan (CNY) especially after CNY was added in a basket of currencies as special deposit right (SDR), it became more and more important in international markets. The purpose of this study is to discover the relationship between Taiwanese Dollar (TWD) forward rates and CNY spot rate. We adopt 30, 60, and 90 day-forward rates of TWD and spot rate of CNY in daily basis to investigate the co-movement of TWD forward rates and CNY spot rate. Empirical results show that TWD forward rates Granger cause CNY spot rate but CNY

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Chen, Mu-hsuan, and 陳慕璇. "Are Forward Rate Biases Due To Peso Problem?" Thesis, 2007. http://ndltd.ncl.edu.tw/handle/35847006499854453713.

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碩士<br>國立成功大學<br>財務金融研究所<br>95<br>Poor performance of forward exchange rates to predict future spot rates has caused researchers to analyze other approaches to exchange rate determination. Because peso problem may occur when the economy faces the instability, in this situation using historical data to predict the future is difficult. Then, we adopt the implied volatility as new variables to test the forward exchange unbiasedness. Two different methods are used to account for the unobservable risk premium. Results suggest that the implied volatility does not significantly influence exchange rate

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Hao, Yen-Jui, and 郝彥瑞. "An Investigation of Forward Exchange Rate Hedging Strategy." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/10328613214873790767.

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碩士<br>國立東華大學<br>會計與財務碩士學位學程<br>99<br>With the impact of globalization, the volatility of exchange rate has been playing an important role in companies' foreign assets investment strategies. Since foreseen risks are derived from such volatility, it has become an increasingly significant issue on how to hedge them. Our main topic of this report is to discuss the hedging strategies of forward exchange contracts, and to compare hedging performances between both stable and unstable exchange rate periods. Using the basis of US Dollars, this report utilizes different hedging strategies and parameter

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陳雅雯. "Construct Joint Probability Distribution of Forward LIBOR Rate." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/78175272229651378590.

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碩士<br>國立交通大學<br>財務金融研究所<br>98<br>This thesis proposes the innovative method of constructing the joint probabilities of forwards rates based on the trees for LIBOR market model. Ho（2008） builds recombined interest trees for simulating the evolution of forwards rates. We suggest that the joint probabilities of forward rates can be constructed by calibrating the correlations with Cholesky decomposition and Andricopoulos et al.（2003）quadrature method. The Monte Carlo simulation is given to verify the correctness of our method in pricing the interest rate derivatives.

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Hsu, Huei-Ya, and 許惠雅. "Forward Rate Agreement-The Empirical Investigation on Intermarket among Eurodollar cash, futures and forward market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/10123971738687444002.

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Xu, Hui-Ya, and 許惠雅. "Forward Rate Agreement-The Empirical Investigation on Intermarket among Eurodollar cash, futures and forward market." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/82976943437885410588.

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Liu, YI-chun, and 柳怡君. "A consumption-based model of forward premium and the term structure of forward exchange rate." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/84167333052466433674.

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碩士<br>國立中正大學<br>國際經濟所<br>96<br>The longer the term of the forward exchange rate makes a variance greater, namely the risk is higher. When foreign consumption growth rate of increase is lower than this country because of being depressed, it is will be smaller than this country to invest in the foreign assets risk; So, the risk agio of national assets must be higher than foreign country, people like to hold. So the national interest rate will be higher than the foreign interest rate, driving the national currency to appreciate, cost forward discount. Forward exchange rate will be higher than the

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Corr, Anthony. "Finite dimensional representability of forward rate and LIBOR models /." 2000. http://www.library.unsw.edu.au/~thesis/adt-NUN/public/adt-NUN20010209.153441/index.html.

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Wang, Ming Chieh, and 王銘杰. "Efficient test and analysis of Taiwan forward exchange rate." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/21136066739845438840.

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Chen, Ching-Hua, and 陳靜華. "A Study of the Maximum Flatness Forward Rate Curves." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/60492751735753306120.

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碩士<br>義守大學<br>財務金融學系碩士班<br>95<br>Lim and Xiao (2002) model base on zero-coupon bond prices as sample data and derive the interesting result that quadratic polynomial spline functions obtain given the maximum flatness estimation of the forward rate curves. Because coupon bond prices are more frequent in internal market trade. Therefore, this article tries to extend Lim and Xiao (2002) model to apply directly to coupon bond, and discuss the impact of coupon bond prices on yield curves. According to simulating and analyzing result, we can find the proper effect will be optimal and most stable if

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