| 期刊論文1. | Hull, John、White, Alan(1990)。Valuing Derivative Securities Using the Explicit Finite Difference Method。Journal of Financial and Quantitative Analysis,25(1),87-100。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Longstaff, Francis A.、Schwartz, Eduardo S.(1992)。Interest-Rate Volatility and the Term Structure: A Two-factor General Equilibrium Model。The Journal of Finance,47(4),1259-1282。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Brennan, M. J.、Schwartz, E. S.(1982)。An equilibrium model of bond pricing and a test of market efficiency。Journal of Financial and Quantitative Analysis,17(3),301-329。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Hall, Arden R.(1985)。Valuing the Mortgage Borrower's Prepayment Option。Journal of the American Real Estate and Urban Economics,13(3),229-247。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Buser, Stephen A.、Hendershott, Patric H.、Sanders, Anthony B.(1990)。Determinants of the Value of Call Options on Default-free Bonds。The Journal of Business,63(1),S33-S50。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Chen, Andrew H.、Ling, David C.(1989)。Optimal Mortgage Refinancing with Stochastic Interest rates。AREUEA Journal,1989(Fall)。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Chen, Ren-Raw、Scott, Louis(1992)。Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure。Review of Financial Studies,5(4),613-636。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Follain, James R.、Scott, Louis O.、Yang, T. L. Tyler(1992)。Microfoundations of a mortgage prepayment function。The Journal of Real Estate Finance and Economics,5(2),197-217。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Jamshidian, F.(1989)。An Exact Bond Options Formula。Journal of Finance,44(1),205-209。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Leung, Wai K.、Sirmans, C. F.(1990)。A Lattice Approach to Pricing Fixed-Rate Mortgages with Default and Prepayment Options。AREUEA Journal,1990(Spring)。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Yang, T. L. Tyler。Self-selection in fixed Rate Mortgage Market。AREUEA Journal,20(3),359-391。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | 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。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 研究報告1. | Archer, Wayne、Ling, David C.(1992)。The Importance of Borrower Transaction Costs and Non-Financial Prepayment in the Valuation of Mortgage-Backed Securities。University of Florida。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Chaplin, G.(1987)。A Formula for Bond Option Values Under An Ornstein-Uhlenbeck Model for the Spot。University of Waterloo。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Kau, James B.、Keenan, Donald C.、Muller, Walter J. III、Epperson, James F.(1990)。Pricing Fixed Rate Mortgage with Default and Prepayment。The University of Georgia。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Jamshidian, F.(1989)。Closed Form Solution for American Options on Coupon Bonds in the General Gaussian Interest Rate Model。Merrill Lynch Capital Markets。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |