O'Reilly logo

A Workout in Computational Finance by Michael Aichinger, Andreas Binder

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Bibliography

Abramowitz, M. and Stegun, I.A. (1972) Handbook of Mathematical Functions with Formulae, Graphs, and Mathematical Tables, Dover Publications.

Acklam, PJ. (n.d.) An algorithm for computing the inverse normal cumulative distribution function, http://home.online.no/~pjacklam/notes/invnorm/.

Ackworth, P., Broadie, M. and Glasserman, P. (1998) A Comparison of some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing, Springer-Verlag, New York.

Ahrens, J.H., Dieter, U. and Greenberg, H. (1982) Generating gamma variates by a modified rejection technique, Communications of the ACM, 25(1), 47-54.

Albanese, C. and Vidler, A. (2008) Dynamic conditioning and credit correlation baskets, MPRA Paper 8368, University Library of Munich, Germany, January.

Albrecher, H., Mayer, P., Schoutens, W. and Tistaert, J. (2007) The Little Heston Trap, Wilmott Magazine, January, 83-92.

Amin, A. (2003) Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples. Social Science Research Network Working Paper Series, available at SSRN: http://ssrn.com/abstract=1214042.

Andersen, L. and Broadie, M. (2004) A Primal-Dual Simulation Algorithm for Pricing MultiDimensional American Options, Management Science, 50(9), 1222-1234.

Anderson, D.A., Tannehill, J.C. and Pletchter, R.H. (1997) Computational Fluid Mechanics and Heat Transfer, 2nd edn, Taylor & Francis, Washington, DC.

Bakshi, G. and Madan, D. (2000) Spanning and derivative-security valuation, Journal of ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required