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Dissertations / Theses on the topic 'Rate Interest'

Author: Grafiati

Published: 3 June 2025

Last updated: 1 August 2025

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1

Chimanga, Taurai. "Interest Rate Derivatives : An analysis of interest rate hybrid products." Thesis, Stockholms universitet, Matematiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-56450.

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The globilisation phenomena is causing an increasing interaction between different markets and sectors. This has led to the evolution of derivative instruments from ”single asset” instruments to complex derivatives that have underlying assets from different markets, sectors and sub-sectors. These are the so-called hybrid products that have multi-assets as underlying instruments. This article focuses on interest rate hybrid products. In this article an analysis of the application of stochastic interest rate models and stochastic volatility models in pricing and hedging interest rate hybrid prod

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2

Kladívko, Kamil. "Interest Rate Modeling." Doctoral thesis, Vysoká škola ekonomická v Praze, 2005. http://www.nusl.cz/ntk/nusl-96400.

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I study, develop and implement selected interest rate models. I begin with a simple categorization of interest rate models and with an explanation why interest rate models are useful. I explain and discuss the notion of arbitrage. I use Oldrich Vasicek's seminal model (Vasicek; 1977) to develop the idea of no-arbitrage term structure modeling. I introduce both the partial di erential equation and the risk-neutral approach to zero-coupon bond pricing. I briefly comment on affine term structure models, a general equilibrium term structure model, and HJM framework. I present the Czech Treasury yi

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3

Jangenstål, Lovisa. "Hedging Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-169390.

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This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. First, with the real changes of the forward rate curve and the discount curve. Then, with principal component analysis to reduce the dimension of the changes in the curves. These methods are compared with a method using the principal component variance to randomize new principal components.<br>Den här uppsatsen undersöke

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4

Epstein, D. "Uncertain interest rate modelling." Thesis, University of Oxford, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302139.

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In this thesis, we introduce a non-probabilistic model for the short-term interest rate. The key concepts involved in this new approach are the non-diffusive nature of the short rate process and the uncertainty in the model parameters. The model assumes the worst possible outcome for the short rate path when pricing a fixed-income product (from the point of view of the holder) and differs in many important ways from the traditional approaches of fully deterministic or stochastic rates. In this new model, delta hedging and unique pricing play no role, nor does any market price of risk term appe

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5

Bottazzi, Laura. "Essays on exchange rate targets and interest rates." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/12879.

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6

Al-Zoubi, Haitham. "New Evidence on Interest Rate and Foreign Exchange Rate Modeling." ScholarWorks@UNO, 2003. http://scholarworks.uno.edu/td/467.

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This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The second essay examines the market efficiency hypothesis in the foreign exchange markets and relates the rejection of forward rate unbiasedness hypothesis to the existence of risk premium not to the failure of rational expectation. The

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7

Chau, Suk Ling. "Interest rate swap : quanto LIBOR and CMS rate /." View abstract or full-text, 2007. http://library.ust.hk/cgi/db/thesis.pl?MATH%202007%20CHAU.

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8

Hansen, Oyvind Grande. "Multifactor Interest Rate Models in Low-Rate Environments." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for fysikk, 2013. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-22624.

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This thesis studies a multi-factor Heath-Jarrow-Morton model and a LIBOR mar-ket model on the Norwegian, European and US interest rate market. The mainconcerns are the low-rate environment and exposure to negative interest rates inthese models. We begin by introducing financial markets and the mathematicalmodels explaining them. Further we discuss the problem with the current low-rateenvironment and the historical market practice. The focuses are implementationsof two multi-factor interest rate models and the presence of negative interest rates.The historical data is provided by DNB and consis

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9

Nikolaou, Kleopatra. "Essays on exchange rate and interest rate fluctuations." Thesis, University of Warwick, 2007. http://wrap.warwick.ac.uk/61950/.

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The aim of this thesis is to further investigate new empirical methods, results and implications on major topics relating to foreign exchange and interest rate markets. To this end, this thesis is organised in three chapters. The first chapter focuses on nominal exchange rates. It extends the literature of foreign exchange unbiasedness by including information from different derivatives markets. For the purpose of this thesis, it also implicitly provides a lead on the behaviour of interest rate differentials. The second chapter uses innovative econometric methodologies to add new insights in t

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10

Sagir, Serhat. "Effects Of Monetary Policy On Banking Interest Rates: Interest Rate Pass-through In Turkey." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613717/index.pdf.

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In this study, the effects of CBRT monetary policy decisions on the consumer, automobile, housing and commercial loans of the banks during the period from the early of 2004 to the middle of 2011 are examined. In order to perform this study, it is benefited from weekly weighted average loan interest rate data of the banks, which is the data having the highest frequency that could be obtained from the electronic data distribution system of CBRT. Monetary policy instruments of Central Bank may change in the course of time or monetary policy could be executed by more than one instrument. Therefor

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11

Elhouar, Mikael. "Essays on interest rate theory." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-451.

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12

Unal, Birol. "Interest rate term structure models." Thesis, Imperial College London, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.407078.

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13

Miglietta, Giulio. "Topics in Interest Rate Modeling." Doctoral thesis, Università degli studi di Padova, 2015. http://hdl.handle.net/11577/3423897.

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In this thesis, we address some issues in the mathematical modeling of the term structure of interest rates. In Chapter 1, we set the notation, recall some fundamental results and analyze the problems which will be tackled in the thesis, in particular the distinction between instantaneous and discrete rates and the so-called multiple curve framework. In Chapter 2, we propose a multiple-curve model for the instantaneous spot rate and give a fundamental condition to automatically calibrate it to the initial term structure, whereas in Chapter 3 we put forward an HJM multiple-curve model for the

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14

Schmidt, Sandra [Verfasser]. "Interest Rate Dynamics, Interest Rate Expectations and the Operational Framework of Central Banks / Sandra Schmidt." Aachen : Shaker, 2010. http://d-nb.info/1081884746/34.

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15

Zhou, You 1970. "Capitalization rate, mortgage interest rate and commercial mortgage demand." Thesis, Massachusetts Institute of Technology, 2001. http://hdl.handle.net/1721.1/32219.

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16

Lekkos, Ilias. "Empirical evidence on interest rate dynamics : evidence from USD, DM, GBP and JPY interest rates." Thesis, Lancaster University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.268125.

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17

Chui, Hiu-fai Sam. "Evaluation of measures taken by financial institutes under the interest rate swing caused by the currency attack /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19882117.

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18

Ferrero, Giuseppe. "Expectations, interest rate and limited commitment." Doctoral thesis, Universitat Pompeu Fabra, 2005. http://hdl.handle.net/10803/7601.

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El tema genérico de la tesis es el estudio de modelos dinámicos que departen del supuesto tradicional de mercados perfectos y expectativas racionales. En el primer capitulo se estudia la política monetaria en un modelo de aprendizaje. En este modelo la producción y la inflación dependen de las expectativas, de los shocks a la economía y del tipo de interés determinado por el banco central. En esta economía los agentes aprenden sobre la mejor forma de prever la inflación y la producción futuras. Se muestra que la velocidad de aprendizajes puede ser muy lenta, es decir, que la economía c

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19

Mattoo, Mehraj-U.-Din. "A study of interest rate swaps." Thesis, Imperial College London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.281690.

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20

Jackson, Alexander. "Interest rate and credit risk modelling." Thesis, University of Oxford, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.400043.

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21

Zagonov, Maxim. "Financial intermediation and interest rate risk." Thesis, City University London, 2011. http://openaccess.city.ac.uk/1189/.

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This thesis analyses the link between interest rate risk faced by financial intermediaries in the G-10 countries, their balance sheet composition and national bank regulation. The regulatory authorities both in the US and in Europe increasingly emphasise the issue of bank interest rate exposure. The importance of this topic is also reasserted by recent developments in the monetary environment. The thesis offers three major contributions to the area. First, it empirically investigates the interest rate risk exposure of financial intermediaries across a large international data sample over the 1

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22

BARBOSA, KLENIO DE SOUZA. "TRADE CREDIT: INVARIANT INTEREST RATE. WHY?" PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3701@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Há evidência - Petersen e Rajan (1997) - que fornecedores têm uma vantagem informacional sobre o risco de seus clientes. Entretanto, Elliehausen e Wolken (1993) reportam que taxas de crédito comercial são freqüentemente padronizadas. Por que os fornecedores não usam sua vantagem informacional para adequar taxas de juros a risco? Este trabalho demonstra que se a demanda por insumos for suficientemente inelástica, a competição com os bancos faz com que a taxa de crédito comercial seja invariante e cole na taxa bancária. Se,

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23

Ziervogel, Graham. "Hedging performance of interest-rate models." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/20482.

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This dissertation is a hedging back-study which assesses the effectiveness of interest- rate modelling and the hedging of interest-rate derivatives. Caps that trade in the Johannesburg swap market are hedged using two short-rate models, namely the Hull and White (1990) one-factor model and the subsequent Hull and White (1994) two-factor extension. This is achieved by using the equivalent Gaussian additive-factor models (G1++ and G2++) outlined by Brigo and Mercurio (2007). The hedges are constructed using different combinations of theoretical zero-coupon bonds. A flexible factor hedging method

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24

Schumann, Gareth William. "Trolle-Schwartz HJM interest rate model." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/23030.

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The Trolle and Schwartz (2009) interest rate model prices interest rate derivatives in a generalised stochastic volatility framework. It is a reformulation of the multifactor Heath, Jarrow and Morton (1992) framework with stochastic volatility terms presented in an analogous fashion to the seminal Heston (1993) model. The Trolle and Schwartz (2009) model provides semi-analytical pricing formulas for zerocoupon bonds and zero-coupon bond options. These formulas are extended to price interest rate caplets, and therefore caps, as well as swaptions. These formulas are described as semi-analytical

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25

Pumprová, Zuzana. "Valuation Methods of Interest Rate Options." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73665.

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The subject of this thesis are selected interest rate models and valuation of interest rate derivatives, especially interest rate options. Time-homogeneous one-factor short rate models, Vasicek and Cox-Ingersoll-Ross, and time-inhomogeneous short rate model, Hull{White, are treated. Heath-Jarrow-Morton framework is introduced as an alternative to short rate models, evolving the entire term structure of interest rates. The short rate models are shown to be special cases of models within the framework. The models are derived using the risk-neutral pricing methodology.

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26

Trovato, Manlio Battaglia. "Interest rate models with Markov chains." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/8805.

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27

Kohler, Daniel. "Betting against uncovered interest rate parity." kostenfrei, 2008. http://www.biblio.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/3513.

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28

Mason, Marco <1988&gt. "Gli Interest Rate Swap in Italia." Master's Degree Thesis, Università Ca' Foscari Venezia, 2014. http://hdl.handle.net/10579/4215.

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Negli ultimi anni sempre più spesso si è sentito parlare di strumenti finanziari derivati e dei loro possibili effetti negativi. Questo elaborato propone di offrire una panoramica generale di un prodotto in particolare, l’Interest Rate Swap, inserito in due contesti italiani specifici, il settore pubblico e quello privato. Vengono trattate diverse tematiche: dall’analisi dei mercati Over The Counter all’evoluzione della normativa in materia di derivati, dalla contabilizzazione nei bilanci alle modalità di valutazione di questo strumento. Il testo si conclude analizzando due casi pratici: il pr

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29

Brodin, Therese, and Frida Harrysson. "Interest rate swap eller inte? : En studie om de största svenska företagens användning av interest rate swaps." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-27845.

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Syfte: Syftet är att undersöka svenska storföretags användande av derivatet ränteswap (svensk benämning för interest rate swap) för år 2012 och 2013 samt att undersöka skillnader utifrån tidigare funna bakomliggande faktorer mellan företag som använder olika typer av ränteswaps och företag som inte använder ränteswap. Metod: Studien tillämpade en empirisk totalundersökning gällande de icke-finansiella företagen noterade på Nasdaq OMX Stockholm Large Cap för slutet på år 2012 respektive år 2013. Utifrån företagens årsredovisningar kategoriserades företagen i fyra grupper baserat på företagets a

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30

Can, Mutan Oya. "Real Exchange Rates And Real Interest Rate Differentials: An Empirical Investigation." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/2/12606669/index.pdf.

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This study investigates the validity of the real exchange rate-real interest rate differential (RERI) relationship for a sample of twenty-three developing and developed countries. The results based on the Johansen cointegration analysis suggest the validity of the long-run RERI relationship only for a small number of countries including Canada, Italy, Switzerland, Belgium, Chile, Israel and Norway. Real interest rate differentials are found to be positively associated with real exchange rates in the long-run for every country except Israel. The results of the weak exogeneity tests suggest that

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31

Ho, Raymond Wai Ming. "Fixed rate mortgage prepayment and the term structure of interest rates." Thesis, Imperial College London, 1998. http://hdl.handle.net/10044/1/7384.

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32

Berglund, Pontus, and Daniel Kamangar. "An Empirical Study on the Reversal Interest Rate." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273549.

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Previous research suggests that a policy interest rate cut below the reversal interest rate reverses the intended effect of monetary policy and becomes contractionary for lending. This paper is an empirical investigation into whether the reversal interest rate was breached in the Swedish negative interest rate environment between February 2015 and July 2016. We find that banks with a greater reliance on deposit funding were adversely affected by the negative interest rate environment, relative to other banks. This is because deposit rates are constrained by a zero lower bound, since banks are

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33

Fendel, Ralf. "Monetary policy, interest rate rules, and the term structure of interest rates : theoretical considerations and empirical implications /." Frankfurt am Main [u.a.] : Lang, 2007. http://www.loc.gov/catdir/toc/fy0709/2007416149.html.

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34

Vocke, Carsten. "Hedging with multi-factor interest rate models /." [St. Gallen] : [s.n.], 2005. http://www.gbv.de/dms/zbw/503121223.pdf.

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35

Tsujimoto, Tsunehiro. "Calibration of the chaotic interest rate model." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/2568.

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In this thesis we establish a relationship between the Potential Approach to interest rates and the Market Models. This relationship allows us to derive the dynamics of forward LIBOR rates and forward swap rates by modelling the state price density. It means that we are able to secure the arbitrage-free condition and positive interest rate feature when we model the volatility drifts of those dynamics. On the other hand, we develop the Potential Approach, particularly the Hughston-Rafailidis Chaotic Interest Rate Model. The early argument enables us to infer that the Chaos Models belong to the

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36

Heap, John. "Enhanced techniques for complex interest rate derivatives." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.506270.

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37

Kuan, Chia-Hsuan. "The consitent pricing of interest rate options." Thesis, University of Warwick, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.250100.

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38

Sorwar, Ghulam. "Valuation of single-factor interest rate derivatives." Thesis, City University London, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312935.

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39

Lin, Maio Wen, and 林妙紋. "Interest Rate Swap & Interest Rate Swaption Valuation." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/04815118689727058094.

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40

譚丹琪. "Hedging interest rate risk with interest rate futures." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/44141351315523049026.

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41

Chun-Kuei, Chiang, and 江存貴. "Term Structure of Interest rate theory and Interest rate targeting." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/66766920606667925633.

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42

Chen, Chi-Tsai, and 陳其財. "Exotic Interest Rate Derivative — Average Interest Rate Cap's Pricing, Hedging and Application." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/64377581315706163015.

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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>Thesis Abstract: Hedging interest rate risk has become one of the most common and important type of a financial manager’s risk management activities. In the last decade several instruments have been developed to help the manager to control these risks, such as swaps, forwards rate agreements, caps and collars. Caps in particular are used whenever the manager wants to have a ceiling on the borrowing costs and at the same time wants to profit form lower interest rates. Some firms would view their objective as hedging their average cos

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43

Nein, Jainn Chuen, and 粘健春. "The effect of bank interest rate decision for deregulation of interest rate." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/02496717143865146867.

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44

Lin, Jiann-Ming, and 林建明. "Pricing Interest Rate Swap." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/76156362877839291056.

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碩士<br>淡江大學<br>財務金融學系<br>86<br>This study has developed a two-factor stocahstic volatility to investigate interest rate swap valuations and bond valuationsunder stochastic volatility, and also, assuming initial stochasticvolatility equals the volatility of the constant volatility model,to compare the price differences of the two models. Our findings show that fixed income security prices demonstratea similar sensitivity to parameters in the constant volatility modeland the stochastic vola

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45

Hsu, Ching-Yun, and 許瀞允. "The interaction between benchmark interest rate and retail interest rate: evidence from Taiwan." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/34287054960973976752.

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碩士<br>淡江大學<br>經濟學系碩士班<br>100<br>This thesis employs the Tsay (1998) multivariate threshold model and investigates the relationship between the benchmark rate and banks’ retail rates to examine the pass-through process in the banking system of Taiwan. The main findings indicate that the pass through from the benchmark rate to retail rate is complete in the long run. In addition, with the maturity of the retail rates increase, the impact of benchmark rates on retail rate rises.

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46

Cheng-Chung, Kuang. "The Connection of the Interest Rate Prospection and the Term Structure of Interest Rate." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1007200600042100.

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Kuang, Cheng-Chung, and 匡正中. "The Connection of the Interest Rate Prospection and the Term Structure of Interest Rate." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/74675412872886834753.

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碩士<br>國立臺灣大學<br>國際企業學研究所<br>94<br>This paper explores a framework to study the connection of the interest rate prospection and the term structure of interest rate under the Ho and Lee (1986) model. By a calibration method, it estimates the parameters of Ho-Lee model to fit the observed term structure curve. Using the data during 1986-2005, the results of the predictive ability of the Ho and Lee model indicate that the model performs well in interest rate expectation. Besides, the results of the predictive ability of the Ho and Lee model for Fed Funds target rate indicate that the model perform

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48

Tsung-Mu, yang. "interest rate barrier options pricing." 2005. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0001-1507200512450300.

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49

Wu, Guan-shiun, and 吳冠勳. "Pricing of Interest Rate Derivatives." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/26098968274018369197.

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碩士<br>國立臺北大學<br>統計學系<br>97<br>HJM model is a very general interest rate model, it only required inputs are the initial yield curve and volatility structure for pure discount bond. This paper discussed the problem of pricing a spread option on the difference of two interest rates under Heath, Jarrow and Morton (hereafter HJM) model. We know that there is no closed form of spread option. This paper will introduce a method which proposed by Borovkova,Permana and Weide (2007). By this method, we will price the yield rate spread options and the LIBOR rate spread option. Finally, we can compare with

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50

Zhan, Kai-Wei, and 詹凱惟. "Pricing Asian Interest Rate Swaps." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/83011366192534939255.

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碩士<br>國立臺北大學<br>統計學系<br>97<br>This search uses the Heath, Jarrow and Morton Model to derive closed-form solution for average interest rate swaps, whose floating-rate payment are determined by the average spot LIBOR rates over a period between two consecutive settlement dates. And we change from risk-neutral probability measure to forward martingale probability measure. We describle the valuating properties of average interest rate swaps and compare them with those of standard interest rate swaps, and we show that the important factors that make the swap rate of average and standard interest ra

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