| Reference: | 中文部份
陳松男(2006)，利率金融工程學-理論模型及實務應用，新陸書局
陳松男(2005)，金融工程學(二版)- 金融商品創新與選擇權理論，新陸書局
陳松男(2004)，結構型金融商品之設計及創新，新陸書局
英文部份
Fabio Mercurio and Massimo Morini(2009) ‘Joining the SABR and Libor
models together’,risk
Fabio Mercurio and Nicola Moreni (2009) ‘Inflation modelling with SABR dynamics’,risk
Riccardo Rebonato, Andrey Pogudin, Richard White(2009) ‘Delta and vega hedging in the SABR and LMM-SABR models’,risk
Pierre Henry-Labordère(2007), ‘Combining the SABR and LMM models’ ,risk
Riccardo Rebonato(2007), ‘A time-homogeneous, SABR-consistent extension of the LMM’ ,risk
Hagan,P.,Kumar,D.,Lesniewski,A.and Woodward,D.(2002) ‘MANAGING SMILE RISK’,Wilmott Magazine
Riccardo Rebonato and Richard White(2009) ‘Linking caplets and swaptions prices in the LMM-SABR model’ journal of computational finance
Pogudin,A.(2008) ‘Theoretical and practice aspects of heging within SABR and LMM-SABR models’M.Sc.in Mathmatical Finance,Oxford university
Wu L and F Zhang(2006) Libor market model with stochastic Journal of Industrial and Management |
