Python for Finance: Analyze Big Financial Data

Further Reading

Useful references in book form for the topics covered in this chapter are:

Glasserman, Paul (2004): Monte Carlo Methods in Financial Engineering. Springer,

New York.

Hilpisch, Yves (2015): Derivatives Analytics with Python. Wiley Finance, Chichester,

England. http://derivatives-analytics-with-python.com.

Original papers cited in this chapter are:

Black, Fischer and Myron Scholes (1973): “The Pricing of Options and Corporate

Liabilities.” Journal of Political Economy, Vol. 81, No. 3, pp. 638–659.

Cox, John, Jonathan Ingersoll, and Stephen Ross (1985): “A Theory of the Term

Structure of Interest Rates.” Econometrica, Vol. 53, No. 2, pp. 385–407.

Merton, Robert (1973): “Theory of Rational Option Pricing.” Bell Journal of

Economics and Management Science, Vol. 4, pp. 141–183.

Merton, Robert (1976): “Option Pricing When the Underlying Stock Returns Are

Discontinuous.” Journal of Financial Economics, Vol. 3, No. 3, pp. 125–144.

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We speak of “random” numbers knowing that they are in general “pseudorandom” only.

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Cf. Glasserman (2004), Chapter 2, on generating random numbers and random variables.

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Glasserman (2004) presents in Chapter 4 an overview and theoretical details of different variance reduction

techniques.