．單位首頁
．系所簡介
．系主任
．強力師資
．研究所
．課程概況
．各類學程
．期刊論文
．招生資訊
．演講專區
．榮譽榜
．系學會
．系友天地
．就業訊息
95年12月18日(五) 3:00 ~4:00 P.M.
演講日期： 95年12月18日(一) 3:00 ~4:00 P.M.
演講者姓名吳庭斌 博士：
演講者服務單位：Department of Banking and Finance at National Chengchi University, Taiwan
演講地點：商1011
演講題目：Equity Swaps in a LIBOR Market Model
摘要：This paper extends the BGM (Brace, Gatarek and Musiela (1997)) interest rate model (the LIBOR market model) by incorporating the stock price dynamics under the martingale measure. As compared with traditional interest rate models, the extended BGM model is both appropriate for pricing equity swaps and easy to calibrate. The general framework for pricing equity swaps is proposed and applied to the pricing of floating-for-equity swaps with either constant or variablenotional principals. The calibration procedure and the practical implementation are also discussed.
