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F.(1965)。The behavior of stock market prices。Journal of Business,38(1),34-105。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Blattberg, Robert C.、Gonedes, Nicholas J.(1974)。A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices。Journal of Business,47(2),244-280。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Mandelbrot, Benoit B.(1963)。The Variation of Certain Speculative Prices。The Journal of Business,36(4),394-419。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Cont, R.(2001)。Empirical properties of asset returns: stylized facts and statistical issues。Quantitative Finance,1,223-236。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | 傅承德、Hu, Inchi(2004)。Efficient importance sampling for events of moderate Deviations with applications。Biometrika,91,471-490。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Glasserman, P.、Heidelberger, P.、Shahabuddin, P.(1999)。Asymptotically optimal important sampling and Stratification for pricing path-dependent options。Mathematical Finance,9,117-152。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Glasserman, P.、Heidelberger, P.、Shahabuddin, P.(1999)。Importance sampling in the Health-Jarrow-Morton Framework。The Journal of Derivatives,7,32-50。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Glasserman, P.、Heidelberger, P.、Shahabuddin, P.(2000)。Variance Reduction Techniques for Estimating Value-at-risk。Management Science,46,1349-1364。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Glasserman, P.、Heidelberger, P.、Shahabuddin, P.(0)。Portfolio value-risk with heavy-tailed risk factors。Mathematical Finance,12,239-269。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Goffinet, B.、Wallach, D.(1996)。Optimized importance sampling quantile estimation。Biometrika,83,791-800。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Hall, P.(1990)。Asymptotic properties of the bootstrap for heavy-tail distributions。Annuals of Probability,18,1342-1360。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Hall, P.(1990)。Performance of balanced bootstrap resampling in distribution function and quantile problems。Theory Rel. Fields,85,239-260。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Hall, P.(1991)。Bahadur representations for uniform resampling and importance Resampling with Applications to Asymptotic Relative Efficiency。Annals of Statistics,19,1062-1072。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Horowitz, J. L.(2001)。The Bootstrap。Handbook of Econometrics, Volume 5,3161-3228。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 17. | Johns, M. V.(1988)。Importance sampling for bootstrap conference intervals。Journal of the American Statistical Association,83,709-714。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | Morgan, J. P.(1995)。Riskmetrics Technical Manual。New York, NY:J. P. Margan。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Nelsen, Roger B.(1999)。An Introduction to Copulas。New York:Springer。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Glasserman, Paul(2003)。Monte Carlo Methods in Financial Engineering。Springer-Verlag。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Rachev, S. T.、Mittnik, S.(2000)。Stable Paretian Models in Finance。John Wiley and Sons。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Hull, J. C.(2000)。Options, Futures, and Other Derivatives。Prentice-Hall。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Jorion, P.(2000)。Value at Risk。McGraw-Hill。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Anderson, T. W.(1984)。An introduction to multivariate statistical analysis。John Wiley & Sons, Inc.。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Hall, P.(1992)。The Bootstrap and Edgeworth Expansion。New York, NY:Springer-Verlag New York Inc.。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Efron, Bradley、Tibshirani, Robert J.(1993)。An Introduction to the Bootstrap。Chapman & Hall/CRC。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Bucklew, J. A.(1990)。Large Deviation Techniques in Decision, Simulation, and Estimation。Large Deviation Techniques in Decision, Simulation, and Estimation。New York, NY。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Embrechts, P.、McNeil, A.、Straumann, D.(1999)。Correlation and Dependence Properties in Risk Management: Properties and Pitfalls。Risk Management: Value at Risk and Beyond。沒有紀錄。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |