| Reference: | [1] L. Anderson, and J. Andreasen, Volatility Skews and Extentions of the Libor Market Model, Applied Mathematical Finance, 7, 1-32 (2000).
[2] F. Black, E. Derman, and W. Toy, A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options, Financial Analysts Journal, 3, 24-32 (1990).
[3] A. Brace, D. Gatarek and M. Musiela, The Market Model of Interest Rate Dynamics, Mathematical Finance ,7, 127-155 (1997).
[4] J. C. Cox, J. E. Ingersoll and S. A. Ross, A Theory of the Term Structure of Interest Rates, Econometrica, 53, 385-407 (1985).
[5] P. S. Hagan, D. Kumar, A. S. Lesniewski, D. E. Woodward, Managing Smile Risk, Working papper, (2002).
[6] D. Heath, R. Jarrow, and A. Morton, Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation, The Journal of Financial and Quantitative Analysis, 25, 419-440 (1990)
[7] J. Hull and A. White, Pricing Interest-Rate Derivative Securities, The Review of Financial Studies, 3, 573-592 (1990).
[8] J. Hull and A. White, Forward Rate Volatilities, Swap Rate Volatilities, and Implementation of the LIBOR Market Model, The Journal of Fixed Income, 10, 46--62 (2000).
[9] T. S. Y. Ho, S. B. Lee, Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, 41, (1986).
[10] F. Jamshidian, LIBOR and Swap Market Models and Measures, Finance and Stochastics, 1, 293-330 (1997)
[11] A. Kawai, Analytical and Mote Carlo Swaption Pricing under the Forward Swap Measure, Journal of Computational Finance, 6, 101-111 (2002)
[12] F. A. Longstaff, and E. S. Schwartz, Valuing American Options by Simulation：a Simple Least-Square Approach, The Reviews of Financial Studies, 14, 113-147 (2001).
[13] V. V. Piterbarg, Computing Deltas of Callable Libor Exotic in Forward Libor Models, Journal of Computational Finance, 7, 107-144 (2004).
[14] Vasicek, An Equilibrium Characterization of the Term Structure, Journal of Financial Ecnomics, 5, (1997).
[15] P. Weigel, Optimal Calibration of LIBOR Market Models to Correlations, The Journal of Derivatives, 12, 43-50 (2004).
[16] 陳松男，利率金融工程學，新陸書局，2006。
[17] 蔡宗儒，LIBOR新奇選擇權之評價---以最小平方蒙地卡羅法為例，國立政治大學碩士論文 (2006)。 |
