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The Mathematics of Derivatives: Tools for Designing Numerical Algorithms
book

The Mathematics of Derivatives: Tools for Designing Numerical Algorithms

by Robert L. Navin
December 2006
Intermediate to advanced content levelIntermediate to advanced
205 pages
4h 26m
English
Wiley
Content preview from The Mathematics of Derivatives: Tools for Designing Numerical Algorithms

References

Abramowitz, Milton, and Irene A. Stegun. 1972. Handbook of Mathematical Functions. Washington, DC: Dover.

Barone-Adesi, G., and R. E. Whaley. 1987. Efficient analytic approximation of American optionvalues. Journal of Finance 42: 301-20.

Courant, Richard, and David Hilbert. 1989. Methods of mathematical physics, Vols. I and II. New York, NY: J. Wiley & Sons.

Cheyette, O. “Term Structure Dynamics and Mortgage Valuation.” Journal of Fixed Income 2 (1992): 28–41.

Duffie, Darrell. 2001. Dynamic asset pricing theory. Princeton, NJ: Princeton University Press.

Heath, D., R. Jarrow, and A. Morton. “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuation.” Econometrica 60 (1992): 77–105.

Hull, John C. 2005. Options, futures and other derivatives, 6th edn. Upper Saddle River, NJ: Prentice Hall.

Ingersoll, Jonathan E. 1987. Theory of financial decision making. Lanham, MD: Rowman & Littlefield.

Li, D. “On default correlation: A Copula function approach.” Journal of Fixed Income 9 (2000): 43–45.

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Publisher Resources

ISBN: 9780470047255Purchase book