| Reference: | 【中文部分】
[1] 陳松男博士(2000)，金融工程學：金融商品創新選擇權理論，華泰出版社。
[2] 陳威光博士(2001)，選擇權理論，實務與應用，智勝出版社。
[3] 李弘道(2002)，有記憶性信用價差期間結構模型，國立政治大學財務管理學系碩士論文。
[4] 廖政芳(2002)，信用風險下的股酬交換評價，國立政治大學金融學系碩士論文。
[5] 紀景耀(2000)，信用風險下可轉換公司債之評價，國立政治大學金融學系碩士論文。
【英文部分】
[1] Arvanitis, A., J. Gregory, and J. -P. Laurent, 1999, 〝Building Models for Credit Spreads, 〞 Journal of Derivatives, 6, 27-43.
[2] Duffie D. and Singleton K.J., 1999, 〝Modeling Term Structures of Defaultable Bonds, 〞 The Review of Financial Studies, 12, 687-720.
[3] Das, S. R., and P. Tufano, 1996, 〝Pricing Credit-Sensitive Debt When Interest Rates, Credit Ratings, and Credit Spreads are Stochastic, 〞 Journal of Financial Engineering, 5, 161-198.
[4] Hull & White, Fall 2000, 〝Valuing Credit Default Swaps Ⅰ：No Counterparty Default Risk, 〞 Journal of derivatives, vol.18 Issue 1, 29-40.
[5] Hull & White, Spring 2001, 〝Valuing Credit Default Swaps Ⅱ：Modeling Default Correlations, 〞 Journal of derivatives, vol.18 Issue 3,12-21.
[6] Jarrow, R. & S. Turnbull, 1995, 〝Pricing Derivatives on Financial Securities Subject to Credit Risk, 〞Journal of Finance, vol. 50, p53-86.
[7] Jarrow, R., D. Lando, and S. Turnbull, 1997, 〝A Markov Model for the Term Structure of Credit Risk Spreads, 〞 Review of Financial Studies, 10, 481-523
[8] Kijima, M., and K. Komoribayashi, 1998, 〝A Markov Chain Model for Valuing Credit Risk Derivatives, 〞 Journal of Derivatives, 6, 97-108
[9] Kodera, E., 2001, 〝A Markov Chain Model with Stochastic Default Rate for Valuation of Credit Spreads, 〞 Journal of Derivatives, 8, 8-18.
[10] Lando, David, 1998, 〝On Cox processes and Credit Risky Securities, 〞Review of Derivatives Research 2, 99-120.
[11] Madan D. and Unal H., 1999, 〝A Two-Factor Hazard-Rate Model for Pricing Risky Debt and the Term Structure of Credit Spreads, 〞 The Journal of Financial and Quantitative Analysis, 34, 48-65.
[12] Patrick Houweling & Ton Vorst, 2001, 〝An Empirical Comparison of Default Swap Pricing Model, 〞Working Paper.
[13] Robert A. Jarrow and Fan Yu , 2001,〝Counterparty Risk and Defaultable Securities, 〞Journal of Finance, vol. LVI, No. 5,1765-1799.
[14] Schonbucher P.J., 1999, 〝A Tree Implementation of A Credit Spread Model For Credit Derivatives, 〞Working Paper.
[15] Schonbucher P.J., 2000, 〝The Pricing of Credit Risk and Credit Risk Derivatives, 〞Working Paper.
[16] Tibor Janosi, Robert Jarrow, Yildiray Yildirim, 2002,〝Estimating Expected Losses and Liquidity Discounts Implicit in Debt Prices,〞Working Paper. |
