Handbook of Finance: Valuation, Financial Modeling, and Quantitative Tools

REFERENCES

F. Black, and M. Scholes (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81, 3: 637–654.

P. Boyle (1977). Options: A Monte Carlo approach. Journal of Financial Economics 4, 3: 323–338.

P. Boyle, M. Broadie, and P. Glasserman (1997). Monte Carlo methods for security pricing. Journal of Economic Dynamics & Control 21: 1267–1321.

D. Canuel, and C. Melchreit (1998). Total return analysis in CMO portfolio management. In F.Fabozzi (ed.), Advances in the Valuation and Management of Mortgage-Backed Securities (pp. 41–58), Hoboken, NJ: John Wiley & Sons.

N. Chen, and P. Glasserman (2006a). Malliavin Greeks without Malliavin calculus. Columbia Business School working paper.

Z. Chen, and P. Glasserman (2006b). Fast pricing of basket default swaps. Columbia Business School working paper.

D. Duffie, and N. Garleanu (2001). Risk and valuation of collateralized debt obligations. Financial Analysts Journal 57, 1: 41–59.

J. Evans, and D. Olson (2002). Introduction to Simulation and Risk Analysis, 2nd Edition. Upper Saddle River, NJ: Prentice Hall.

FabozziF. (ed.) (2005). The Handbook of Mortgage-Backed Securities, 6th Edition. New York: McGraw-Hill.

H. Faure (1982). Discrépence de suites associées á un systéme de numération (en Simension s). Acta Arithmetica 41: 337–351.

G. Fishman (2006). A First Course in Monte Carlo. Belmont, CA: Duxbury Press, Thomson Brooks/Cole.

P. Glasserman (2004). Monte Carlo Methods in Financial Engineering, New York: Springer-Verlag ...