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Interest Rate Swaps and Their Derivatives: A Practitioner's Guide by AMIR SADR

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Notes

CHAPTER 5 Derivatives Pricing: Risk-Neutral Valuation

1 F. Black and M. Scholes, ″The Pricing of Options and Corporate Liabilities,″ Journal of Political Economy 81 (1973): 637-659.
2 J.C. Cox, S.A. Ross, and M. Rubinstein, ″Option Pricing: A Simplified Approach,″ Journal of Financial Economics 7 (1979): 229-263.
3 J.M. Harrison and D.M. Kreps, ″Martingales and Arbitrage in Multi-Period Securities Markets,″ Journal of Economic Theory 20 (1979): 381-408.
4 J.M. Harrison and S.R. Pliska, ″Martingales and Stochastic Integrals in the Theory of Continuous Trading,″ Stochastic Processes and Their Applications 11 (1981): 215-260.
5 H. Geman, N. El Karoui, and J-C. Rochet, ″Changes of Numeraire, Changes of Probability Measure, and Option Pricing,″ Journal of Applied Probability 32 (1995): 443-458.

CHAPTER 6 Black′s World

1 F. Black, ″The Pricing of Commodity Contracts,″ Journal of Financial Economics , 31 (1976): 167-179.

CHAPTER 7 European-Style Interest-Rate Derivatives

1 P.S. Hagan, D. Kumar, A.S. Lesniewski, and D.E. Woodward, ″Managing Smile Risk,″ Wilmott Magazine (2002); 84-108.
2 G. Amblard and J. Lebuchox, ″Models for CMS Options,″ Euro Derivatives/Risk Magazine (September 2000): 68.

CHAPTER 8 Short-Rate Models

1 O. Vasicek, ″An Equilibrium Characterization of the Term Structure,″ Journal of Financial Economics 5 (1977): 177-188.
2 J. Hull and A. White, ″Bond Option Pricing Based on a Model for the Evolution of Bond Prices,″ Advances in Futures and Options Research 6 ...

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