| 期刊論文1. | Zhang, L.、Mykland, P.(2005)。A tale of two time scales: Determining integrated volatility with noise high frequency data。Journal of American Statistics,100,1394-1411。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Heston S.(1993)。A closed-form solution for option with stochastic volatility, with application to bond and currency options。Review of Financial Studies,6,327-343。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | 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) | 4. | 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) | 5. | Andersen, Torben G.、Bollerslev, Tim、Diebold, Francis X.、Labys, Paul(2001)。The Distribution of Realized Exchange Rate Volatility。Journal of the American Statistical Association,96(453),42-55。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Reno, R.(2008)。Nonparametric Estimation of the Diffusion Coefficient to Stochastic Volatility Models。Econometric Theory,24,1174-1206。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Yung, Haynes H. M.、Zhang, H.(2003)。An empirical investigation of the GARCH option pricing model: Hedging performance。The Journal of Futures Markets,23,1191-1207。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Jiang, G.J.(1998)。Nonparametric Modeling of U.S. Interest Term Structure Dynamic and Implications on the Prices of Derivative Securities。The Journal of Financial and Quantitative Analysis,33(4),465-497。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Malliavin, P.、Mancino, M. E.(2002)。Fourier Series Method for Measurement of Multivariate Volatilities。Finance and Stochastics,6,49-61。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Malliavin, P.、Mancino, M.E.(2009)。A Fourier Transform Method for Nonparametric Estimation of Multivariate Volatilities。The Annals of Statistics,37,1983-2010。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 研究報告1. | Han, C.-H.(2010)。Robust Hedging Performance and Volatility Risk in Option Markets。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Avellaneda, M.、Lee, J.-H.(2008)。Statistical Arbitrage in the U.S. Equities Market。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 學位論文1. | Han, C.-H.、Liu, W.-H.、Chen, T.-Y.(2010)。An Improved Procedure for VaR/CVaR Estimation under Stochastic Volatility Models。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | Tsay, R. S.(2005)。Analysis of financial time series。Hoboken, NJ:Wiley-Interscience。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Fouque, Jean-Pierre、Papanicolaou, George、Sircar, K. Ronnie(2000)。Derivatives in Financial Markets with Stochastic Volatility。Cambridge:Cambridge University Press。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Gatheral, J.(2006)。The volatility surface。Wiely。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Hull, J.C.(2008)。Options, Futures, and Other Derivatives。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Hull, J.C.(2010)。Risk Management and Financial Institutions。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Malliavin, P.、Thalmaier, A.(2010)。Stochastic Calculus of Variations in Mathematical Finance。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |