Further Reading
Albrecher, H., Mayer, P., Schoutens, W. and Tistaert, J. (2006) The Little Heston Trap (Version: 11 September 2006). http://lirias.kuleuven.be/bitstream/123456789/138039/1/HestonTrap.pdf
Ball, C.A. and Roma, A. (1994) Stochastic volatility option pricing. Journal of Financial and Quantitative Analysis, 29: 581–607.
Bloch, D. and Nakashima, Y. (2008) Multi-Currency Local Volatility Model. Mizuho Securities Working Paper (Version: August 2008). http://ssrn.com/abstract=1153337
Borodin, A.N. and Salminen, P. (1996) Handbook of Brownian Motion– Facts and Formulae. Birkhäuser, Basel.
Breeden, D.T. and Litzenberger, R. H. (1978) Prices of State-Contingent Claims Implicit in Option Prices. The Journal of Business, 51 (4): 621–651.
Briys, E., Bellalah, M., Mai, H. M. and de Varenne, F. (1998) Options, Futures and Exotic Derivatives: Theory, Application and Practice. John Wiley & Sons, Ltd, Chichester.
Burch, D. (2007) Girsanov’s Theorem and Importance Sampling. http://www-math.mit.edu/∼tkemp/18.177/Girsanov.Sampling.pdf
Carr, P. and Madan, D. B. (2005) A Note on Sufficient Conditions for No Arbitrage. Finance Research Letters, 2: 125–130.
Chibane, M. (2010) Modeling Long Dated Hybrid Structures, presented at ICBI Global Derivatives conference, Paris, 19 May 2010.
Christoffersen, P. and Mazzotta, S. (2004) The Informational Content of Over-The-Counter Currency Options, ECB Working Paper 366. http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp366.pdf
Eckhardt, R. (1987) Stan Ulam, ...
