Frequently Asked Questions In Quantitative Finance

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298 Frequently Asked Questions In Quantitative Finance

Heath, D, Jarrow, R & Morton, A 1992 Bond pricing and the
term structure of interest rates: a new methodology.Econo-
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Heston, S 1993 A closed-form solution for options with stochas-
tic volatility with application to bond and currency options.
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Ho, T & Lee, S 1986 Term structure movements and pric-
ing interest rate contingent claims.Journal of Finance 42
1129–1142
Hull, JC & White, A 1987 The pricing of options on assets with
stochastic volatilities.Journal of Finance 42 281–300
Hull, JC & White, A 1990 Pricing interest rate derivative secu-
rities.Review of Financial Studies 3 573–592
Lewis, A 2000Option valuation under Stochastic Volatility.
Finance Press
Merton, RC 1973 Theory of rational option pricing.Bell Journal
of Economics and Management Science 4 141–83
Merton, RC 1974 On the pricing of corporate debt: the risk
structure of interest rates.Journal of Finance 29 449–70
Merton, RC 1976 Option pricing when underlying stock returns
are discontinuous.Journal of Financial Economics 3 125–44
Rasmussen, H & Wilmott, P 2002 Asymptotic analysis of
stochastic volatility models. InNew Directions in Mathe-
matical Finance, Ed. Wilmott, P & Rasmussen, H, John Wiley
& Sons
Schonbucher, PJ 1999 A market model for stochastic implied ̈
volatility.Phil. Trans. A 357 2071–2092
Schonbucher, PJ 2003 ̈ Credit Derivatives Pricing Models.John
Wiley & Sons
Vasicek, OA 1977 An equilibrium characterization of the term
structure.Journal of Financial Economics 5 177–188
Wilmott, P 2006Paul Wilmott On Quantitative Finance, second
edition. John Wiley & Sons
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