Previous Topic

Next Topic

Swap Pricing References

Black, F., 1976, "The Pricing of Commodity Contracts", Journal of Financial Economics, 3, 167-179.

Black, F. & M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, 637-659.

Brown, P.J., 1998, Bond Markets: Structures and Yield Calculations, American Management Association, New York.

Clewlow L., and C. Strickland, 1999, Implementing Derivative Models, John Wiley & Sons, England.

Cornyn, A. G., R.A. Klein, and J. Lederman, 1997, Controlling & Managing Interest-Rate Risk, New York Institute of Finance.

Cox, J., S. Ross, and M. Rubenstein, 1979, "Option Pricing: A Simplified Approach", Journal of Financial Economics, 7, 229-264.

DeRosa D.F., 1998, Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications, John Wiley & Sons, Canada.

Garman, M.B., and S.W. Kohlhagen, 1983, "Foreign Currency Option Values", Journal of International Money and Finance, 2, 231-237.

Haug, E.G, 1998, The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York.

Hull, J.C., 2002, Fundamentals of Futures and Options Pricing, Prentice Hall, New Jersey, 4th Edition.

Hull, J.C., 2000, Options, Futures, & Other Derivatives, Prentice Hall, New Jersey, 4th Edition.

Miron, P., and P. Swannell, 1996, Pricing and Hedging Swaps, Euromoney Books.

Press W.H., et al, 1996, Numerical Recipes in C - the art of scientific programming, Cambridge University Press, 2nd edition.

Roll, R., 1977, "An Analytical Formula for Unprotected American Call Options on Stocks with Known Dividends", Journal of Financial Economics, 5, 251-258.

Steiner R., 1998, Mastering Financial Calculations: A step by step guide to the mathematics of financial instruments, Pitman Publishing, London.

Stigum, M., 1990, The Money Market, McGraw Hill, 3rd Edition.

Stigum, M., and F.L. Robinson, 1996, Money Market and Bond Calculations, Irwin Professional Publishing, Chicago.

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.