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臺大管理論叢

27

卷第

1

287

effectiveness of Taiwan Stock Index Futures.

Journal of Futures and Options

, 3

(1): 47-88.)

李享泰、康義鑫與柯冠成,

2011

ICA-GARCH

模型在動態期貨避險的應用,

管理學

28

2

期:

171-189

doi: 10.6504/JOM.2011.28.02.04 (Lee, Hsiang-Tai,

Kang, Yi-Shin, and Ko, Kuan-Cheng. 2011. An ICA-GARCH model for dynamic

futures hedging.

Journal of Management

, 28 (2): 171-189. doi: 10.6504/JOM.

2011.28.02.04)

李享泰與彭智煒,

2010

,使用考慮正負不對稱基差效果之馬可夫狀態轉換時變相關係

GARCH

模型進行能源期貨避險,

管理學報

27

5

期:

479-501

doi:

10.6504/JOM.2010.27.05.04 (Lee, Hsiang-Tai, and Peng, Chih-Wei. 2010. A

Markov regime switching time varying correlation GARCH model with

asymmetric basis effect for energy futures hedging.

Journal of Management

, 27

(5): 479-501. doi: 10.6504/JOM.2010.27.05.04)

李賢源、朱香蕙與許嘉玲,

2006

,利率交換之利差期間結構模型-吻合殖利率曲線與

分析解,

管理與系統

13

4

期:

415-440

(Lee, Shyan-Yuan, Chu, Hsiang-

Hui, and Hsu, Chia-Ling. 2006. Term structure of interest rate swap spreads–

Consistent with the market yield curve and analytical solution.

Journal of

Management & Systems

, 13 (4): 415-440.)

李賢源、陳兆維、林信宏與謝承熹,

2007

,不同利率模型、不同標的利率之利率選擇

權評價差異分析,

證券市場發展季刊

19

1

期:

47-90

(Lee, Shyan-Yuan,

Chen, Vincent, Lin, Shin-Hung, and Hsieh, Cheng-Hsi. 2007. Pricing analysis of

interest rate options with different underlyings in alternative term structure

models.

Review of Securities and Futures Markets

, 19 (1): 47-90.)

李賢源與劉柏宏,

2003

,重設選擇權的評價、

Delta

問題與避險設計:以台灣為例,

證券市場發展季刊

15

2

期:

31-61

(Lee, Shyan-Yuan, and Liu, Wisely.

2003. Pricing, delta issues and hedging design on reset options: The case of

Taiwan.

Review of Securities and Futures Markets

, 15 (2): 31-61.)

周恆志,

2009

,障礙選擇權違約風險模型之績效與應用,

管理學報

26

3

期:

275-

289

doi: 10.6504/JOM.2009.26.03.03 (Chou, Heng-Chih. 2009. Performance

and application of the default risk model based on barrier option framework.

Journal of Management

, 26 (3): 275-289. doi: 10.6504/JOM.2009.26.03.03)

周恆志與巫春洲,

2006

Edgeworth Garch

選擇權演算法的實證應用,

證券市場發展季

17

4

期:

155-190

doi: 10.6529/RSFM.2005.17(4).5 (Chou, Heng-Chih,

and Wu, Chun-Chou. 2006. An empirical study of Edgeworth GARCH option