| Reference: | 中文部分
1. 台証衍生金融商品月刊，民國87 年1 月
2. 陳松男，選擇權與期貨，民國86 年
3. 陳皇任，台灣認購權證評價與避險操作之研究，台大財金所碩士論文，民國86 年
4. 陳忠玲，台灣認購權證之觀察，貨幣觀測與信用評等，民國86 年11 月
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英文部份
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3. Chris Marshall and Michael Siegel, Value at risk: implementing a risk measurement standard, The journal of derivatives, spring 1997
4. Christophe Rouvinez, "Going Greek with V AR", Risk, February 1997
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6. Courtney Smith, Option strategies, John Wiley & Sons 1987
7. Darrel Duffie and Jun Pan, An overview of value at risk, The journal of derivatives, spring 1997
8. Darryll Hendricks, "Evaluation of Value-at-Risk Models Using Historical Data", FEBNY Economic Policy Review, April 1996
9. Charles Smithson, Value at risk- understanding the various ways to calculate V AR, Risk ,vo19/no1/January 1996
10. Gifford Fong and Oldrich A. Vasicek, "A Multidimensional
Framework for Risk Analysis", Financial Analysts Journal, July/August 1997
11. James Mevay and Christopher Turner, "Could Companies use value-at-risk?", Euromoney, October 1995
12. John C. Cox and Mark Rubinstein, Options Markets, Prentice-Hall Inc, 1985
13. J.P. Morgan/Reuters, RiskMetrics-Technical Document, Fourth Edition, 1996
14. Keith Cuthbertson, "Quantitative Financial Economics", John Wiley & Sons Ltd, 1996
15. Karen Spinner, "The V AR Explosion", Wall Street & Technology, Volume 14 No. 6
16. Lawrence G. Mcmillan, McMillan on options, John Wiley & Sons
1996
17. Mark B. Garman, "Ending the Search For Component VaR",
Financial Engineering Associates, Inc., March 1997
18. Nassim Taleb, "Dynamic Hedging, Managing Vanilla and Exotic Options", John Wiley & Sons, Inc., 1997
19. Philippe Jorion, "Value at Risk: The New Benchmark for Controlling Market Risk", Irwin Professional Publishing, 1997
20. Philippe Jorion, "Risk2: Measuring the Risk in Value at Risk", Financial Analysts Journal, November/December 1996
21. Robert 1. Schwartz and Clifford W. Smith, JR., "Derivatives Handbook, Risk Management and control", John Wiley & Son, Inc., 1997
22. Ronald J. Frost, Options on Futures, Mcgraw-hill Book Company, 1989
23. Subu Venkataraman, "Value at risk for a mixture of normal distributions: The use of quasi-Bayesian estimation techniques", Economic Perspectives
24. Tanya Styblo Beder, "V AR: Seductive but Dangerous, Financial Analysts Journal, September-October 1995
25. Thomas S.Y. Ho, Micahel Z.H. Chen, and Fred H.T. Eng, "V AR Analytics: Portfolio Structure, Key Rate Convexities, and V AR Betas", The Journal of Portfolio Management, Fall 1996 |
