| Reference: | 中文部分：
王祥帆，百慕達式利率交換選擇權，政大金融研究所碩士論文（2005年）
陳松男，利率金融工程學，新陸書局（2006年）
張嘉云，結構型商品之評價與分析－以美元區間保本票券及信用連結暨通貨膨脹連動票券為例，政大金融研究所碩士論文（2005年）
莊筑豐，連動式債券設計個案研究－固定期交換利率利差連動與信用連結債券，政大金融研究所碩士論文（2005年）
英文部分：
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Brigo, D. and F. Mercurio，2001，Interest Rate Models：Theory and Practice，New York：Springer-Verlag
Brigo, D. and F. Mercurio，2000，”A Mixed-up Smile”，Risk, September 2000, 123-126
Glasserman, P. and X. Zhao，1999，”Fast Greeks by Simulation in Forward LIBOR Models”，Journal of Computational Finance, Volume 3/Number 1, Fall 1999
Hagan, P. S. , D. Kumar, A. S. Lesniewski, and D. E. Woodward，”Managing Smile Risk”，Working paper
Hull, J. and A. White，2000，”Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model”，the Journal of Fixed Income, September 2000 , 46-62
Jensen, M. S. and M. Svenstrup，2005，”Efficient Control Variates and Strategies for Bermudan Swaptions in a LIBOR Market Model”， The Journal of Derivatives, Summer 2005，20-33
Kawai, A.，2002，”Analytical and Mote Carlo Swaption Pricing under the Forward Swap Measure”，Journal of Computational Finance, Volume 6/Number 1, Fall 2002, 101-111
Longstaff, F. A. and E. S. Schwartz，2001，”Valuing American Options by Simulation：a Simple Least-Square Approach”，The Reviews of Financial Studies, Vol. 14, No. 1, Spring 2001, 113-147
Pedersen, M. B.，1999，”Bermudan Swaptions in the LIBOR Market Model”，Working paper
Piterbarg, V. V. ，2003，”A Practitioner’s Guide to Pricing and Hedging Callable Exotics in Forward LIBOR Models”，Working paper
Piterbarg, V. V.，2004，”Computing Deltas of Callable Libor Exotic in Forward Libor Models”， Journal of Computational Finance, Volume 7/Number 3, Spring 2004, 107-144
Weigel, P. ，2004，”Optimal Calibration of LIBOR Market Models to Correlations”， The Journal of Derivatives, Winter 2004, 43-50
Zhou, F. ，2003，”Black Smirks”，Risk, May 2003, 87-91 |
