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J.(2003)。Forecasting Volatility in Financial Markets: A review。Journal of Economic Literature,41(2),478-539。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Tavakkol, A.,(2000)。“Positive Feedback Trading in the Options Market,”。Quarterly Journal of Business and Economics,39,69-80。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Bates, D. S.(2003)。Empirical Option Pricing: A Retrospection。Journal of Econometrics,116(1/2),387-404。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Derman, E.、Kani, I.(1998)。Stochastic Implied Trees: Arbitrage Pricing with Stochastic term and Strike Structure of Volatility。International Journal of Theoretical and Applied Finance,1(1),61-110。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | West, G.(2005)。Calibration of the SABR Model in Illiquid Markets。Applied Mathematical Finance,12(4),371-385。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Bollen, N.、Whaley, R.(2004)。Does net Buying Pressure Affect the Shape of Implied Volatility Functions?。Journal of Finance,59(2),711-753。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Chatrath, A.、Christie-David, R.、Dhanda, Kanwalroop K.、Koch, Timonthy W.(2002)。Index Futures Leadership, Basis Behavior, and Trader Selectivity。Journal of Futures Market,22,649-678。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Shleifer, Andrei、Vishny, Robert W.(1997)。The Limits of Arbitrage。Journal of Finance,52(1),35-55。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Harvey, C. R.、Whaley, R. E.(1992)。Market Volatility Prediction and the Efficiency of S&P 100 Index Options Market。Journal of Financial Economics,31(1),43-73。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Black, Fischer(1976)。The Pricing of Commodity Contracts。Journal of Financial Economics,3(1/2),167-179。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Jackwerth, J.(2000)。Recovering Risk Aversion from Option Prices and Realized Returns。Review of Financial Studies,13(2),433-451。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Merton, Robert C.(1976)。Option Pricing When Underlying Stock Returns are Discontinuous。Journal of Financial Economics,3(1/2),125-144。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 17. | Chang, Eric、Chou, Ray Y.、Nelling, Edward F.(2000)。Market Volatility and the Demand for Hedging in Stock Index Futures。Journal of Futures Markets,20(2),105-125。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 18. | Chen, N. F.、Cuny, C. J.、Haugen, R. A.(1995)。Stock volatility and the levels of the basis and open interest in futures contracts。The Journal of Finance,50(1),281-300。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 19. | Pan, M. S.、Liu, Y. A.、Roth, H. J.(2003)。Volatility and trading demands in stock index futures。Journal of Futures Markets,23(4),399-414。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 20. | Bakshi, G. S.、Kapadia, N.、Madan, D.(2003)。Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options。Review of Financial Studies,16(1),101-143。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 21. | Rubinstein, Mark(1994)。Implied binomial trees。Journal of Finance,49(3),771-818。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 22. | De Long, J. Bradford、Shleifer, Andrei、Summers, Lawrence H.、Waldmann, Robert J.(1990)。Positive Feedback Investment Strategies and Destabilizing Rational Speculation。Journal of Finance,45(2),379-395。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 23. | Merton, Robert C.(1973)。Theory of Rational Option Pricing。Bell Journal of Economics and Management Science,4(1),141-183。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 24. | Barber, Brad M.、Lee, Yi-Tsung、Liu, Yu-Jane、Odean, Terrance(2009)。Just How Much Do Individual Investors Lose by Trading?。The Review of Financial Studies,22(2),609-632。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 25. | Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 26. | Shleifer, Andrei、Summers, Lawrence H.(1990)。The Noise Trader Approach to Finance。Journal of Economic Perspectives,4(2),19-33。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 27. | Cox, John C.、Ross, Stephen A.(1976)。The Valuation of Options for Alternative Stochastic Processes。Journal of Financial Economics,3(1/2),145-166。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 28. | Heston, Steven L.(1993)。A Closed-form Solution for Options With Stochastic Volatility With Applications to Bond and Currency Options。Review of Financial Studies,6(2),327-343。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 29. | Chen, W. P., Wu, S., Hung, H. Y.,(2010)。“Pricing Efficiency, Short Sales Restrictions, and Noise Trader Risk: Evidence from the TAIEX Options,”。Journal of Futures and Options,3:1,1-31。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 30. | Korn, R., Wilmott, P.,(1998)。“A General Framework for Hedging and Speculating with Options,”。International Journal of Theoretical and Applied Finance,1:4,507-522。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 31. | Liu, J., Longstaff, F. A.,(2004)。“Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities,”。Review of Financial Studies,17:3,611-641。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 32. | Hagan, P. S.、Kumar, D.、Lesniewski, A. S.、Woodward, D. E.(2002)。Managing Smile Risk。WILMOTT Magazine,5,84-108。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 33. | Chatrath, A.、Christie-David, R.、Dhanda, K.K.、Koch, T.W.(2002)。Index Futures Leadership, Basis Behavior, and Trader Selectivity。Journal of Futures Markets,22(7),649-677。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 34. | Chen, W. P.、Wu, S.、Hung, H. Y.(2010)。Pricing Efficiency, Short Sales Restrictions, and Noise Trader Risk: Evidence from the TAIEX Options。Journal of Futures and Options,3(1),1-31。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 35. | Korn, R.、Wilmott, P.(1998)。A General Framework for Hedging and Speculating with Options。International Journal of Theoretical and Applied Finance,1(4),507-522。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 36. | Liu, J.、Longstaff, F. A.(2004)。Losing Money on Arbitrages: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities。Review of Financial Studies,17(3),611-641。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 37. | Pan, M. S.、Liu Y. A.、Roth, H. J.(2003)。Volatility and Trading Demands in Stock Index Futures。The Journal of Futures Markets,23(4),399-414。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 研究報告1. | Derman, E., Wilmott, P.,(2009)。“The Financial Modelers' Manifesto,”。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Derman, E.、Wilmott, P.(2009)。The Financial Modelers' Manifesto。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 學位論文1. | Marris, D.,(1999)。Financial Option Pricing and Skewed Volatility。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | Keynes, J. M.(1930)。A Treatise on Money。Macmillan。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Hull, John C.(2006)。Options, Futures, and Other Derivatives。Upper Saddle River, New Jersey:The Pearson Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Kolb, R. W.、Overdahl, J. A.(2006)。Understanding Futures Markets。Cambridge, MA:Blackwell。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Andreassen, P.、Kraus, S.(1988)。Judgmental Prediction by Extrapolation。Mimeo。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書論文1. | Friedman, Milton(1953)。The Case for Flexible Exchange Rates。Essays in Positive Economics。Chicago:University of Chicago Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |
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