Interest Rate Risk Managemet under CIR Stochastic Interest Model: Hedging by Inverse FRNs & Participating Policies
碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === In this thesis, we employ the CIR stochastic interest model to calculate the effective durations and elasticity of the three main products that we simulate in this study ,inverse FRNs, non-participating policies and participating policies. From the simulation, w...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/79804855067921584416 |