Up: Contents
- 1
-
M. Abramowitz and A. Stegun.
Handbook of Mathematical Functions.
Dover Publications, New York, tenth edition, 1972.
- 2
-
T. Björk.
Arbitrage Theory In Continuous Time.
Oxford University Press, second edition, 2004.
- 3
-
F. Black and M. Scholes.
The pricing of options and corporate liabilities.
J. Pol. Econ., 81:637-659, 1973.
- 4
-
R.A. Brealey and S.C. Myers.
Principals of Corporate Finance.
McGraw-Hill, 1992.
- 5
-
J.C. Cox, J. Ingersoll, and S. Ross.
A theory of the term structure of interest rates.
Econom., 53:385-467, 1985.
- 6
-
J.C. Cox and M. Rubenstein.
Option Markets.
Prentice-Hall, 1985.
- 7
-
D. Duffie.
Dynamic Asset Pricing Theory.
Princeton University Press, 1992.
- 8
-
E. Fama.
The behaviour of stock prices.
J. Bus., 38:34-105, 1965.
- 9
-
I.S. Gradshteyn and I.M. Ryzhik.
Table of integrals, series and products.
Academic Press, New York, 1980.
- 10
-
R.L. Heilbroner and L.C. Thurow.
Economics Explained.
Touchstone Books, 1998.
- 11
-
J.C. Hull.
Options Futures and Other Derivative Securities.
Prentice-Hall International, New Jersey, fourth edition, 2000.
- 12
-
A. Jaun.
Numerical Methods for Partial
differential equations.
TRITA-NA-0305 Report, Royal Institute of Technology, Sweden, 2003.
- 13
-
P.E. Kloeden and E. Platen.
Numerical Solution of Stochastic Differential Equations.
Springer-Verlag, second corrected printing edition, 1995.
- 14
-
D.G. Luenberger.
Microeconomic Theory.
McGraw-Hill, Inc., 1995.
- 15
-
R.N. Mantegna and H.E. Stanley.
Scaling behaviour in the dynamics of an economic index.
Nature, 376:46-49, 1995.
- 16
-
H.M. Markowitz.
Foundations of portfolio theory.
J. Fin., 46:469-477, 1991.
- 17
-
S.N. Neftci.
An Introduction to the Mathematics of Financial Derivatives.
Academic Press, 1996.
- 18
-
W.H. Press, S.A. Teukolsky, W.T. Vetterling, and B.P. Flannery.
Numerical Recipies.
Cambridge University Press, second edition, 1992.
- 19
-
R. Rebonato.
Interest-Rate Option Models.
Wiley & Sons Ldt, UK, 1996.
- 20
-
A. Sczepessy.
Unpublished lecture notes.
Nada, KTH, SE-100 44 Stockholm, Sweden, 2001.
- 21
-
W.F. Sharpe.
Investments.
Prentice-Hall, 1985.
- 22
-
N.G. VanKampen.
Stochastic Processes in Physics and Chemistry.
North-Holland Personal Library, 1992.
- 23
-
O. Vasicek.
An equilibrium characterisation of the term structure.
J. Finan. Econ., 5:177-188, 1977.
- 24
-
P. Wilmott, J. Dewynne, and S. Howison.
Option Pricing.
Oxford Financial Press, 1993.