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. |
Brigo D., and F. Mercurio, 2001, Interest Rate Models Theory and Practice, Springer Finance, New York. |
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. |
Das, S., 2001, Structured Products and Hybrid Securities, John Wiley and Sons, Singapore. |
Fabozzi, F.J., 1997, The Handbook of Fixed Income Securities, McGraw-Hill, 5th Edition. |
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. |
Hull, J.C, and A. White, Hull-White on Derivatives, Risk Publications, (1996). |
James, J., and N. Webber, 2000, Interest Rate Modelling, John Wiley and Sons, England. |
Jamshidan, F., "Forward Induction and Construction of Yield Curve Diffusion Models", Journal of Fixed Income, 1, (1991), pp 62-74. |
Miron, P., and P. Swannell, 1996, Pricing and Hedging Swaps, Euromoney Books. |
Pelsser A., 2000, Efficient Methods for Valuing Interest Rate Derivatives, Springer Finance, New York. |
Press W.H., et al, 1996, Numerical Recipes in C - the art of scientific programming, Cambridge University Press, 2nd edition. |
Rebonato, R., 1996, Interest-Rate Option Models, 2nd Edition, John Wiley and Sons, England |
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., and F.L. Robinson, 1996, Money Market and Bond Calculations, Irwin Professional Publishing, Chicago. |
Copyright 2013 Hedgebook Ltd.