August 2009
Intermediate to advanced
244 pages
9h 5m
English
Content preview from Financial Modelling in Python
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Bibliography
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[2] Martin Baxter and Andrew Rennic. Financial Calculus. An Introduction to Derivative Pricing.
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[3] Don Box. Essential COM. Addison Wesley, 1998.
[4] Daniel J Duffy. Finite Difference Methods in Financial Engineering. A Partial Differential Equation
Approach. John Wiley & Sons, Ltd, 2006.
[5] William H. Press, Brian P. Flannery, Saul A. Teukolsky and William T. Vetterling. Numerical
Recipes in C. The Art of Scientific Computing (Second Edition). Cambridge University Press, 1999.
[6] Christian P. Fries. Foresight bias and suboptimality correction in Monte-Carlo pricing of options
with early exercise: Classification, calculation & removal. SSRN, 2005.
[7] Christian P. Fries. Valuing American options by simulation: a simple least-squares approach. SSRN.
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[8] Christian P. Fries and Mark S. Joshi. Partial proxy simulation schemes for generic and robust
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[9] Paul Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2003.
[10] John C. Hull. Options, Futures, and Other Derivatives (Third Edition). Prentice Hall, 1997.
[11] Peter J
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[12] Jaan Kiusalaas. Numerical
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