228 Frequently Asked Questions In Quantitative Finance
References and Further Reading
Barrett, JW, Moore, G & Wilmott, P 1992 Inelegant efficiency.
Risk magazine 5 (9) 82–84
Cheyette, O 1990 Pricing options on multiple assets.Adv. Fut.
Opt. Res. 4 68–91
Faure, H 1969 Resultat voisin d’un th ́ ereme de Landau sur le ́
nombre de points d’un reseau dans une hypersphere. ́ C. R.
Acad. Sci. Paris S ́er. A 269 383–386
Halton, JH 1960 On the efficiency of certain quasi-random
sequences of points in evaluating multi-dimensional inte-
grals.Num. Maths. 2 84–90
Hammersley, JM & Handscomb, DC 1964Monte Carlo Methods.
Methuen, London
Haselgrove, CB 1961 A method for numerical integration.Math-
ematics of Computation 15 323–337
Jackel, P 2002 ̈ Monte Carlo Methods in Finance. John Wiley &
Sons
Niederreiter, H 1992Random Number Generation and Quasi-
Monte Carlo Methods.SIAM
Ninomiya, S & Tezuka, S 1996 Toward real-time pricing of
complex financial derivatives.Applied Mathematical Finance
3 1–20
Paskov 1996 New methodologies for valuing derivatives. In
Mathematics of Derivative Securities(Eds Pliska, SR and
Dempster, M)
Paskov, SH & Traub, JF 1995 Faster valuation of financial
derivatives.Journal of Portfolio ManagementFall 113–120
Press, WH, Flannery, BP, Teukolsky, SA & Vetterling, WT 1992
Numerical Recipes in C. Cambridge University Press
Sloan, IH & Walsh, L 1990 A computer search of rank two
lattice rules for multidimensional quadrature.Mathematics of
Computation 54 281–302
