國立臺灣大學資訊工程學系Wu, Chao-ShengChao-ShengWu2006-09-272018-07-052006-09-272018-07-05http://ntur.lib.ntu.edu.tw//handle/246246/20060927122855554501Interest rate derivatives are instruments whose payoffs depend in some way on interest rates. To price them, it involves constructing a model to describe the probabilistic behavior of interest rates. This thesis is concerned with the above two topic: calibrating interest rate models under credit risk.application/pdf410730 bytesapplication/pdfzh-TWjournal articlehttp://ntur.lib.ntu.edu.tw/bitstream/246246/20060927122855554501/1/thesis_r86009.pdf