Previous Topic

Next Topic

IRO Options 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.

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.

Return to website

Copyright 2013 Hedgebook Ltd.