| Reference: | 1.陳松男，利率金融工程學：理論模型與實務應用，新陸書局，民國95年。
2.曹若玹 (2006)，可贖回雪球式商品的評價與避險，國立政治大學金融研究所碩士論文。
3.Brace, A., D. Gatarek and M. Musiela (1997). The Market Model of Interest Rate. Dynamics Mathematical Finance 7, 127-155
4.Brigo, D. and F. Mercurio (2001). Interest Models, Theory and Practice. Springer-Verlag
5.Glasserman, P. and Yu, B.(2004). Number of Paths Versus Number of Basis Functions in American Option Pricing. Annuals of Applied Probability 14(4), 2090-2119.
6.Jamshidian, F. (1997). LIBOR and Swap Market Models and Measures. Finance and Stochastics 1, 293-330.
7.Longstaff, F. and Schwartz, E. (2001).Valuing American Options by Simulation: A Simple Least-Squares Approach. The Review of Financial Studies, Vol. 14, No.1, p.113-147.
8.Piterbarg.V.V.(2003). A Practioner’s Guide to Pricing and hedging Callable Libor Exotics in Forward Libor Models, SSRN Working Paper.
9.Piterbarg.V.V.(2004a). Computing Deltas of Callable Libor Exotics in Forward Libor Models. Journal of Computational Finance 7(3), 107-144.
10.Piterbarg.V.V.(2004b). Pricing and Hedging Callable Libor Exotics in Forward Libor Models. Journal of Computational Finance 8(2), 65-117.
11.Rebonato, R. (1998). Interest Rate Option Models. Second Edition. Wiley, Chichester.
12.Rebonato, R. (1999). Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options, John Wiley & Sons Ltd., West Sussex.
13.Rebonato, R.(1999). On the Simultaneous Calibration of Multifactor Lognormal Interest Rate Models to Black Volatilities and to the Correlation Matrix, The Journal of Computational Finance,2, 5-27.
14.Rebonato, R (2002), Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond. Princeton University. Press, Princeton.
15.Svoboda, S. (2004). Interest Rate Modeling, Palgrave Macmillan, New York. |
