| 期刊論文| 1. | Jamshidian, Farshid(1989)。An Exact Bond Option Pricing Formula。Journal of Finance，44(1)，205-209。   | | 2. | Hull, John、White, Alan(1990)。Pricing Interest-Rate-Derivative Securities。Review of Financial Studies，3(4)，573-592。 | | 3. | Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica，60(1)，77-105。 | | 4. | Ho, Thomas S. Y.、Lee, Sang Bin(1986)。Term Structure Movements and Pricing Interest Rate Contingent Claims。The Journal of Finance，41(5)，1011-1029。 | | 5. | Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics，5(2)，177-188。 | | 6. | Ritchken, P.、Sankarasubramanian, L.(1995)。Volatility Structures of Forward Rates and the Dynamics of the Term Structure。Mathematical Finance，5，55-72。 | | 7. | Ritchken, P.、Li, A.、Sankarasubramanian, L.(1995)。Lattice Models for Pricing American Interest Rate Claims。The Journal of Finance，50(2)，719-737。 | | 8. | Brenner, R.、Jarrow, R.(1993)。A Simple Formula for Options on Discount Bonds。Advances in Futures and Options Research，6，45-51。 | | 9. | White, A.、Hull, J.(1992)。In the Common Interest。Risk，March，64-67。 | | 10. | Moraleda, J. M.、Vorst, T. C. P.(1997)。Pricing American Interest Rate Claims with Humped Volatility Models。Journal of Banking & Finance，21，1311-1157。 | | 11. | Ritchken, P.、莊益源(2000)。Interest Rate Option Pricing with Volatility Humps。Review of Derivatives Research，3，237-262。 | 研究報告| 1. | Geman, H.(1989)。The Importance of the Forward Neutral Probability in a Stochastic Approach of Interest Rates。ESSEC。 | | 2. | Bhar, R.、Chiarella, C.(1996)。Transformation of Heath-Jarrow-Morton models to Markovian systems。Sydney, Australia。 | | 3. | Jamshidian, F.(1990)。Bond and Option Evaluation in the Gaussian Interest Rate Model。New York, NY。 | 圖書| 1. | Musiela, M.、Rutkowski, M.(1997)。Martingale Methods in Financial Modelling。Martingale Methods in Financial Modelling。Berlin, Germany/ Heidelberg, Germany/ New York, NY：Springer。 | | 2. | Wilmott, P.、Dewynne, J.、Howison, S. D.(1993)。Option Pricing: Mathematical Models and Computation。Option Pricing: Mathematical Models and Computation。Oxford。 | | 3. | Hull, J.(1999)。Options, Futures, and Other Derivative Securities。Options, Futures, and Other Derivative Securities。Englewood Cliffs, NJ。 | | 4. | Oksendal, B.(1998)。Stochastic Differential Equation。Stochastic Differential Equation。Berlin, Germany/ Heidelberg, Germany/ New York, NY。 | | 5. | Baxter, M.、Rennie, A.(1996)。Financial Calculus。Financial Calculus。New York, NY。 | |