| Reference: | （一）中文部份
1.陳松男（2002），金融工程學－金融商品創新與選擇權理論
2.陳威光（2002），選擇權－理論、實務與應用，智勝文化事業有限公司
3.謝劍平（2003），固定收益證券－投資與創新，智勝文化事業有限公司
4.戴維志（2003），HJM模型和市場模型於歐洲美元期貨選擇權評價之理論分析，東華大學國際經濟研究所碩士論文
5.許家瑜（2003），考慮信用風險下新金融商品之評價分析，國立政治大學金融研究所論文
6.陳松男（2005），結構型金融商品之設計及創新（二）
（二）英文部份
1.Arvanitis, A., J. Gregory, and J. P. Laurent（1999）, “Building Models for Credit Spreads”, Journal of Derivatives, Fall, pp.27-43.
2.Black, Fischer and J. C. Cox（1976）, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance 31, 351-376.
3.Black, F., E. Derman, and W. Toy（1990）, “A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options”, Journal of Financial Analysts, pp.33-39.
4.Brace, A., D. Gatarek, and M. Musiela（1997）, ”The Market Model of Interest Rate Dynamics”, Mathematical Finance, 7, pp.127-155.
5.Brigo, D. and F. Mercurio（2001）, Interest Rate Models Theory and Practice
6.Cox, J. C., J. E. Ingersoll, and S. A. Ross（1985）, “An Intertemporal General Equilibrium Model of Asset Prices”, Econometrica, pp.363-384.
7.Duffie, D and K. Singleton（1999）, “Modeling Term Structure of Defaultable Bonds”, Review of Financial Studies
8.Grauer, R. and N. Hakansson（1995）, “Stein and CAPM Estimators of The Means in Asset Allocation”, International Review of Financial Analysis, pp.35-66.
9.Heath, D., R. Jarrow, and A. Morton（1992）, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Evaluation”, Econometrica, Vol. 60.
10.Ho, T. S. Y., and S. B. Lee（1986）, “Term Structure Movements and Pricing of Interest Rate Claims”, Journal of Finance, pp.1011-1029.
11.Hull, J. and A. White（1994）,” Numerical Procedures for Implementing Term Structure Models I: Single – Factor Models”, Journal of Derivatives, Fall, pp.7-16.
12.Jarrow, R. A., D. Lando, and S. M. Turnbull （1997）, “ A Markov Model for the Term Structure of Credit Risk Spreads”, Review of Financial Studies, pp.481-523
13.Kijima, M. and K. Komoribayashi（1998）, “ A Markov Chain Model for Valuing Credit Risk Derivatives”, Journal of Derivatives, pp.97-108.
14.Li, D.（1998）, “Constructing a Credit Curve”, Risk, pp.40-44.
15.Longstaff, Francis A. and E. S. Schwartz（1995）, "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt", Journal of Finance, Vol. L, No. 3, University of California at Los Angeles, pp. 789-819.
16.Merton, R. C. （1974）, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.” The Journal of Finance, 28, pp.449-470.
17.Svoboda, S.（2004）, Interest Rate Modelling
18.Vasicek, O. A.（1997）, “An Equilibrium Characterization of the Term Structure”, Journal of Financial Economics, pp.177-188 |
