| Reference: | 中文部分
1. 陳松男 (2004)，結構型金融商品之設計及創新，新陸書局
2. 陳松男 (2005)，結構型金融商品之設計及創新(二)，新陸書局
3. 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
4. 陳松男 (2006)，利率金融工程學－理論模型及實務應用，新陸
書局
5. 陳威光 (2001)，選擇權－理論、實務與應用，智勝文化
英文部分
1. Berrahoui, M. (2005) “Pricing CMS Spread Options and
Digital CMS Spread Optionswith Smile”, In The best of
Wilmott 2, Wiley
2. Black, F. (1976) “The pricing of commodity
contracts”, Journal of Financial Economics 3, P167-179.
3. Errais, E., Mauri, G., and Mercurio, F. (2004)
“Capturing the Skew in Interest Rate Derivatives: A
Shifted Lognormal LIBOR Model with Uncertain
Parameters”,Working Paper, available at
www.fabiomercurio.it/sllmup.pdf
3. Hagan, P.S. (2003) “Convexity Conundrums: Pricing CMS
Swaps, Caps, and Floors”, Wilmott magazine, March,
P38-44
4. Hagan, P.S., Kumar, D., Lesniewski, A.S., Woodward,
D.E. (2002) “Managing Smile Risk”, Wilmott magazine,
September, P84-108.
5. Henry-Labordere, P. (2006) “Unifying the BGM and SABR
Models: a Short Ride in Hyperbolic Geometry”,
available at ssrn.com/abstract=877762
6. Lee, R.W. (2004) “The Moment Formula for Implied
Volatility at Extreme Strikes”, Mathematical Finance
14(3), P469-480.
7. Mercurio, F. and Pallavicini, A. (2005) “Swaption
Skews and Convexity Adjustments”, Working Paper,
available at www.fabiomercurio.it/sabrcms.pdf
8. Pelsser, A. (2003) “Mathematical Foundation of
Convexity Correction”, Quantitative Finance 3, P59-65
9. Piterbarg, V. (2003) “A Stochastic Volatility Forward
LIBOR Model with a Term Structure of Volatility
Smiles”, Working Paper, Bank of America. |
