المؤلفون: 劉思霓, Liu, Szu-Ni

المساهمون: 張興華, Chang, Hsing-Hua

مصطلحات موضوعية: 中資美元債, 信用利差, 債券定價

وصف الملف: 984345 bytes; application/pdf

Relation: 1. 王靖軒(2020)。《國際因素對中資美元債定價的影響》，上海外國 語大學金融學碩士論文。\n2. 李存修、陳姿利(2013)。《點心債券和中國公司債券信用利差的影 響因素》，財團法人金融研訓院。\n3. 邵溯帆(2020)。《中資企業境外美元債定價機制研究》，上海財經 大學金融學碩士論文。\n4. 侯永順(2019)。《中資美元債海外融資成本探討》，國立中央大學 財務金融學系碩士論文。\n5. 姚潤萌(2021)。《中資美元債發行利差的影響因素研究》，山東財 經大學金融學碩士論文。\n6. 范龍振、張處(2006)。《中國債券市場債券回報率與宏觀經濟變量 關係的實證分析》，上海復旦大學管理學院碩士論文。\n7. 常雅丹(2021)。《中資美元債價格影響因素研究》，華中師範大學 金融學碩士論文。\n8. 郭泓、武康平(2005)。《債券市場流動性及其相關問題研究》，西 南民族大學學報。\n9. 謝一飛(2015)。《從Merton結構化模型看中國信用利差的特殊性》， 中國人保資產管理股份有限公司。\n10.顏琪(2012)。《中國大陸公司債券信用利差決定因素分析》，國立 政治大學金融學系碩士論文。\n11.中國中金公司(2021)。《中資美元債:與境內信用債的平行世界》。\n12.Altman, E.(1989). “Measuring Corporate Bond Mortality and Performance”, Journal of Finance, 909-922\n13.Black, F. and Cox, J.C.(1976).“Valuing Corporate Securities: Some Effects of Bond Indenture Provisions”, Journal of Finance, 31, 351-367.\n14.E. Philip Jones, Scott P Mason and Eric Rosenfeld(1984). “Contingent Claims Analysis of Corporate Capital Structures: An Empirical Investigation”, Journal of Finance, Vol.39, issue 3, 611-25\n15.Fischer Black, Myron Scholes(1973). “The Pricing of Options and Corporate Liabilities”, Journal of Political Economy, Vol. 81, No.3, May-Jun 1973, 637-654\n16.Longstaff, F. and Schwartz(1995). “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt”, Journal of Finance, 50, 789-819\n17.Madan, Dilip and Unal(2000). “A Two-Factor Hazard Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads”, The Journal of Financial and Quantitative Analysis, Vol.35, No. 1, Mar 2000, 43-65\n18.Robert C. Merton(1973). “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates”, November 1973; G0110352024; https://nccur.lib.nccu.edu.tw//handle/140.119/145865; https://nccur.lib.nccu.edu.tw/bitstream/140.119/145865/1/202401.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/145865
https://nccur.lib.nccu.edu.tw/bitstream/140.119/145865/1/202401.pdf

المؤلفون: 王博森, 吕元稹, 叶永新

المساهمون: 北京大学光华管理学院

المصدر: 知网

مصطلحات موضوعية: 政府隐性担保, 债券定价, 利率期限结构, CIR仿射模型

Relation: 经济研究. 2016, 155-167.; 1941708; http://hdl.handle.net/20.500.11897/486490

الاتاحة: https://hdl.handle.net/20.500.11897/486490

المؤلفون: 王博森, 姜国华

المساهمون: 北京大学光华管理学院

المصدر: 万方 ; 知网 ; http://d.g.wanfangdata.com.cn/Periodical_kjzy201608002.aspx

مصطلحات موضوعية: 会计信息, 债券定价, 公告效应, 债券市场

Relation: 会计之友.2016,(8),10-13.; 1404992; http://hdl.handle.net/20.500.11897/441651

الاتاحة: https://hdl.handle.net/20.500.11897/441651
https://doi.org/10.3969/j.issn.1004-5937.2016.08.002

المؤلفون: 肖虹, 肖明芳

مصطلحات موضوعية: 公司债券定价, 企业社会责任, 信用利差

Relation: 现代管理科学,2014,(2):32-34; XDGL201402011; http://dspace.xmu.edu.cn/handle/2288/103180

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/103180

المؤلفون: 韩斯玥, 刘力一, 温权

المساهمون: 北京大学 光华管理学院博士后流动站, 中国工商银行博士后科研工作站,北京 100032, 中国人民大学 商学院,北京,100872

المصدر: 万方 ; 知网 ; http://d.g.wanfangdata.com.cn/Periodical_glxdh201406002.aspx

مصطلحات موضوعية: 政府监管, 公司债券, 债券定价, 信用债券, 企业债券, 债券市场

Relation: 管理现代化.2014,34,(6),4-6.; 836739; http://hdl.handle.net/20.500.11897/75009

الاتاحة: https://hdl.handle.net/20.500.11897/75009

المؤلفون: 郭君默, 李时银, 潘素娟

مصطلحات موضوعية: 零息票债券, 债券定价, 物价指数, 标准Wiener过程, discount bond, bond-pricing, price level, standard Wiener process

Relation: 厦门大学学报(自然科学版),2009,(5):34-37; XDZK200905007; http://dspace.xmu.edu.cn/handle/2288/120011

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/120011

المؤلفون: 郭君默, 李时银, 潘素娟

مصطلحات موضوعية: 零息票债券, 债券定价, 物价指数, 标准Wiener过程, discount bond, bond-pricing, price level, standard Wiener process, eco, manag

Relation: http://dspace.xmu.edu.cn/handle/2288/120011

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/120011

المؤلفون: 杨靖三, 李时银

مصطلحات موضوعية: 零息票债券, 债券定价, 物价指数, 标准Wiener过程, discount bond, bond-pricing, price level, Wiener process

Relation: 数学的实践与认识,2006,(03):12-16; SSJS200603002; http://dspace.xmu.edu.cn/handle/2288/154668

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/154668

المؤلفون: 郑振龙, 康朝锋(富国基金管理公司)

مصطلحات موضوعية: 可赎回债券, 可回售债券, BDT模型, 债券定价, callable bonds, puttable bonds, BDT model, pricing of bonds

Relation: 证券市场导报 ，2005（12）：64-66; http://dspace.xmu.edu.cn/handle/2288/4427

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/4427

المؤلفون: 唐国正, 许宁, 王志诚, 史树中

المساهمون: 北京大学金融数学与金融工程研究中心

المصدر: CSSCI ; 知网

مصطلحات موضوعية: 可交换债券, 国家股, 国家财政融资, 债券定价

Relation: 经济研究.1998,(10),64-69.; 711059; http://hdl.handle.net/20.500.11897/12521

الاتاحة: https://hdl.handle.net/20.500.11897/12521

المؤلفون: 廖珂平

المساهمون: 張士傑 鄭宗記

مصطلحات موضوعية: 間接效用函數, 負債複製投資組合, 擬似動態過程, 債券定價誤差

وصف الملف: 2561552 bytes; application/pdf

Relation: Bange, M. M., and Thomas W. M. Jr. "Return momentum and global portfolio allocations." Journal of Empirical Finance 11.4 (2004): 429-459. Brennan, M. J., and Eduardo S. S. "The use of Treasury bill futures in strategic asset allocation programs." Worldwide asset and liability modeling 10 (1998): 205. Brennan, M. J. "The role of learning in dynamic portfolio decisions." European Finance Review 1.3 (1998): 295-306. Brennan, M. J., Eduardo S. S., and Ronald L. "Strategic asset allocation." Journal of Economic Dynamics and Control 21.8 (1997): 1377-1403. Campbell, J. Y. "Stock returns and the term structure." Journal of financial economics 18.2 (1987): 373-399. Canestrelli, E. , and Sebastiano P. "Inquiries on the applications of multidimensional stochastic processes to financial investments." preprint (1998). Cox, J. C., and C.-F. Huang. "Optimal consumption and portfolio policies when asset prices follow a diffusion process." Journal of economic theory 49.1 (1989): 33-83. Cox, J. C., and C.-F. Huang. "A variational problem arising in financial economics." Journal of Mathematical Economics 20.5 (1991): 465-487. Dagıstan, C. (2010). QUANTIFYING THE INTEREST RATE RISK OF BONDS BY SIMULATION (Doctoral dissertation, Bogaziçi University). Duffie, D., and C.-F. Huang. "Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities." Econometrica: Journal of the Econometric Society (1985): 1337-1356. Duffie, D. , Dynamic asset pricing theory. Princeton University Press, 2010.Evidence for pension funds." Journal of Financial Economics 65.2 (2002) " Ferson, W., Tyler R. H., and Darren J. K. "Evaluating government bond fund performance with stochastic discount factors." Review of Financial Studies 19.2 (2006): 423-455. Fama, E. F., and Kenneth R. F. "Business conditions and expected returns on stocks and bonds." Journal of financial economics 25.1 (1989): 23-49. Ferson, W., and Kenneth K. "Conditional performance measurement using portfolio weights" Fischer, G. "Outlook for Bonds in a Challenging Yield Environment." (2013). Fisher, L., and Roman L. W. "Coping with the risk of interest-rate fluctuations: returns to bondholders from naive and optimal strategies." Journal of business (1971): 408-431. Goetzmann, W., Jonathan I., and Zuran I. "Monthly Measurement of." (2000). Hicks, J. R. Value and capital. Vol. 2. Oxford: Clarendon Press, 1946. Hopewell, M., and G. Kaufman. "Bond Price Volatility and Term to Maturity: A Generalized Respecification." American Economic Review (September 1973) 749.53 (1973): 268-80. Karatzas, I. S., and Steven S. "S. 1988 Brownian Motion and stochastic calculus." Graduate Texts in Mathematics 113. Kim, T. S., and Edward O. "Dynamic nonmyopic portfolio behavior." Review of financial studies 9.1 (1996): 141-161. Macaulay, F. R. "Some theoretical problems suggested by the movements of interest rates, bond yields and stock prices in the United States since 1856." NBER Books(1938). Markowitz, H. "Portfolio selection*." The journal of finance 7.1 (1952): 77-91. Merton, R. C. "Theory of rational option pricing." (1971): 141-183. Song, N., Siu, T. K., Alavi Fard, F., Ching, W. K., & Fung, E. S. (2012). Risk measures and behaviors for bonds under stochastic interest rate models. Mathematical and Computer Modelling, 56(9), 204-217. Redington, F. M. "Review of the principles of life-office valuations." Journal of the Institute of Actuaries (1952): 286-340. Rogers, L. C., and Wolfgang S. "Consistent fitting of one-factor models to interest rate data." Insurance: Mathematics and Economics 27.1 (2000): 45-63. Shiller, R. J., and Andrea E. B. "Stock prices and bond yields: Can their comovements be explained in terms of present value models?." Journal of Monetary Economics 30.1 (1992): 25-46. Song, N., et al. "Risk measures and behaviors for bonds under stochastic interest rate models." Mathematical and Computer Modelling 56.9 (2012): 204-217. Sørensen, C. "Dynamic asset allocation and fixed income management." Journal of financial and quantitative analysis 34.04 (1999): 513-531. Vasicek, O. "An equilibrium characterization of the term structure." Journal of financial economics 5.2 (1977): 177-188. 黃美慧,"人壽保險公司之最適盈餘管理(Optimal Surplus Management for Life Insurance) "(2002) 張士傑、杜昌燁、鄧昌俗,"最適跨期投資策略之套利與避險分析",保險專刊第十 九卷第一期 (2003); G0101358026; http://nccur.lib.nccu.edu.tw//handle/140.119/73245; http://nccur.lib.nccu.edu.tw/bitstream/140.119/73245/1/802601.pdf

الاتاحة: http://nccur.lib.nccu.edu.tw//handle/140.119/73245
http://nccur.lib.nccu.edu.tw/bitstream/140.119/73245/1/802601.pdf

المؤلفون: 廖珂平

المساهمون: 張士傑 鄭宗記

مصطلحات موضوعية: 間接效用函數, 負債複製投資組合, 擬似動態過程, 債券定價誤差

وصف الملف: 2561552 bytes; application/pdf

Relation: Bange, M. M., and Thomas W. M. Jr. "Return momentum and global portfolio allocations." Journal of Empirical Finance 11.4 (2004): 429-459.\nBrennan, M. J., and Eduardo S. S. "The use of Treasury bill futures in strategic asset allocation programs." Worldwide asset and liability modeling 10 (1998): 205.\nBrennan, M. J. "The role of learning in dynamic portfolio decisions." European Finance Review 1.3 (1998): 295-306.\nBrennan, M. J., Eduardo S. S., and Ronald L. "Strategic asset allocation." Journal of Economic Dynamics and Control 21.8 (1997): 1377-1403.\nCampbell, J. Y. "Stock returns and the term structure." Journal of financial economics 18.2 (1987): 373-399.\nCanestrelli, E. , and Sebastiano P. "Inquiries on the applications of multidimensional stochastic processes to financial investments." preprint (1998).\nCox, J. C., and C.-F. Huang. "Optimal consumption and portfolio policies when asset prices follow a diffusion process." Journal of economic theory 49.1 (1989): 33-83.\nCox, J. C., and C.-F. Huang. "A variational problem arising in financial economics." Journal of Mathematical Economics 20.5 (1991): 465-487.\nDagıstan, C. (2010). QUANTIFYING THE INTEREST RATE RISK OF BONDS BY SIMULATION (Doctoral dissertation, Bogaziçi University).\nDuffie, D., and C.-F. Huang. "Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities." Econometrica: Journal of the Econometric\nSociety (1985): 1337-1356.\nDuffie, D. , Dynamic asset pricing theory. Princeton University Press, 2010.Evidence for pension funds." Journal of Financial Economics 65.2 (2002) " Ferson, W., Tyler R. H., and Darren J. K. "Evaluating government bond fund\nperformance with stochastic discount factors." Review of Financial Studies 19.2\n(2006): 423-455.\nFama, E. F., and Kenneth R. F. "Business conditions and expected returns on stocks\nand bonds." Journal of financial economics 25.1 (1989): 23-49.\nFerson, W., and Kenneth K. "Conditional performance measurement using\nportfolio weights"\nFischer, G. "Outlook for Bonds in a Challenging Yield Environment." (2013). Fisher, L., and Roman L. W. "Coping with the risk of interest-rate fluctuations:\nreturns to bondholders from naive and optimal strategies." Journal of business\n(1971): 408-431.\nGoetzmann, W., Jonathan I., and Zuran I. "Monthly Measurement of." (2000). Hicks, J. R. Value and capital. Vol. 2. Oxford: Clarendon Press, 1946. Hopewell, M., and G. Kaufman. "Bond Price Volatility and Term to Maturity: A\nGeneralized Respecification." American Economic Review (September 1973)\n749.53 (1973): 268-80.\nKaratzas, I. S., and Steven S. "S. 1988 Brownian Motion and stochastic calculus."\nGraduate Texts in Mathematics 113.\nKim, T. S., and Edward O. "Dynamic nonmyopic portfolio behavior." Review of\nfinancial studies 9.1 (1996): 141-161.\nMacaulay, F. R. "Some theoretical problems suggested by the movements of interest\nrates, bond yields and stock prices in the United States since 1856." NBER Books(1938).\nMarkowitz, H. "Portfolio selection*." The journal of finance 7.1 (1952): 77-91. Merton, R. C. "Theory of rational option pricing." (1971): 141-183.\nSong, N., Siu, T. K., Alavi Fard, F., Ching, W. K., & Fung, E. S. (2012). Risk\nmeasures and behaviors for bonds under stochastic interest rate models.\nMathematical and Computer Modelling, 56(9), 204-217.\nRedington, F. M. "Review of the principles of life-office valuations." Journal of the\nInstitute of Actuaries (1952): 286-340.\nRogers, L. C., and Wolfgang S. "Consistent fitting of one-factor models to interest\nrate data." Insurance: Mathematics and Economics 27.1 (2000): 45-63.\nShiller, R. J., and Andrea E. B. "Stock prices and bond yields: Can their comovements\nbe explained in terms of present value models?." Journal of Monetary Economics\n30.1 (1992): 25-46.\nSong, N., et al. "Risk measures and behaviors for bonds under stochastic interest rate\nmodels." Mathematical and Computer Modelling 56.9 (2012): 204-217. Sørensen, C. "Dynamic asset allocation and fixed income management." Journal of\nfinancial and quantitative analysis 34.04 (1999): 513-531.\nVasicek, O. "An equilibrium characterization of the term structure." Journal of\nfinancial economics 5.2 (1977): 177-188. 黃美慧,"人壽保險公司之最適盈餘管理(Optimal Surplus Management for Life\nInsurance) "(2002) 張士傑、杜昌燁、鄧昌俗,"最適跨期投資策略之套利與避險分析",保險專刊第十\n九卷第一期 (2003); G0101358026; https://nccur.lib.nccu.edu.tw//handle/140.119/73245; https://nccur.lib.nccu.edu.tw/bitstream/140.119/73245/1/802601.pdf

الاتاحة: https://nccur.lib.nccu.edu.tw//handle/140.119/73245
https://nccur.lib.nccu.edu.tw/bitstream/140.119/73245/1/802601.pdf

المؤلفون: 吴坤

المساهمون: 李时银

المصدر: http://210.34.4.13:8080/lunwen/detail.asp?serial=30364.

مصطلحات موضوعية: Vasicek模型, Feyman-kac定理, 债券定价, 利率, 跳跃, Vasicek model, Feyman-kac theory, Bond pricing, interest rate, jumping

Relation: http://210.34.4.28/opac/openlink.php?strText=29685&doctype=ALL&strSearchType=callno; http://dspace.xmu.edu.cn/handle/2288/47534

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/47534

المؤلفون: 张韦

المساهمون: 李时银

المصدر: http://210.34.4.13:8080/lunwen/detail.asp?serial=23879.

مصطلحات موضوعية: 信用风险, 破产障碍, 首穿时, 债券定价, 跳跃扩散, credit risk, default barrier, first-passage-time, Bond pricing, jump diffusion

Relation: http://210.34.4.28/opac/openlink.php?strText=22179&doctype=ALL&strSearchType=callno; http://dspace.xmu.edu.cn/handle/2288/47589

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/47589

المؤلفون: 吴旸泓

المساهمون: 吴世农

المصدر: http://210.34.4.13:8080/lunwen/detail.asp?serial=11099.

مصطلحات موضوعية: 债券定价, 住房抵押贷款, 证券化, Bonds Fixed Price, Mortgage-backed Housing Loan, Securitization

Relation: http://210.34.4.28/opac/openlink.php?strText=9635&doctype=ALL&strSearchType=callno; http://dspace.xmu.edu.cn/handle/2288/29318

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/29318

المؤلفون: 黄瑞庆

المساهمون: 陈仁恩

المصدر: http://210.34.4.13:8080/lunwen/detail.asp?serial=3822.

مصطلحات موضوعية: 收益曲线, 利率风险, 指数仿样, 利率期限结构, 债券定价

Relation: http://210.34.4.28/opac/openlink.php?strText=3720&doctype=ALL&strSearchType=callno; http://dspace.xmu.edu.cn/handle/2288/40794

الاتاحة: http://dspace.xmu.edu.cn/handle/2288/40794