 
 
 Up: Contents
 
 Up: Contents
- 1
- 
M. Abramowitz and A. Stegun.
 Handbook of Mathematical Functions.
 Dover Publications, New York, tenth edition, 1972.
- 2
- 
T. Björk.
 Arbitrage Theory In Continuous Time.
 Oxford University Press, second edition, 2004.
- 3
- 
F. Black and M. Scholes.
 The pricing of options and corporate liabilities.
 J. Pol. Econ., 81:637-659, 1973.
- 4
- 
R.A. Brealey and S.C. Myers.
 Principals of Corporate Finance.
 McGraw-Hill, 1992.
- 5
- 
J.C. Cox, J. Ingersoll, and S. Ross.
 A theory of the term structure of interest rates.
 Econom., 53:385-467, 1985.
- 6
- 
J.C. Cox and M. Rubenstein.
 Option Markets.
 Prentice-Hall, 1985.
- 7
- 
D. Duffie.
 Dynamic Asset Pricing Theory.
 Princeton University Press, 1992.
- 8
- 
E. Fama.
 The behaviour of stock prices.
 J. Bus., 38:34-105, 1965.
- 9
- 
I.S. Gradshteyn and I.M. Ryzhik.
 Table of integrals, series and products.
 Academic Press, New York, 1980.
- 10
- 
R.L. Heilbroner and L.C. Thurow.
 Economics Explained.
 Touchstone Books, 1998.
- 11
- 
J.C. Hull.
 Options Futures and Other Derivative Securities.
 Prentice-Hall International, New Jersey, fourth edition, 2000.
- 12
- 
A. Jaun.
 Numerical Methods for Partial
  differential equations.
 TRITA-NA-0305 Report, Royal Institute of Technology, Sweden, 2003.
- 13
- 
P.E. Kloeden and E. Platen.
 Numerical Solution of Stochastic Differential Equations.
 Springer-Verlag, second corrected printing edition, 1995.
- 14
- 
D.G. Luenberger.
 Microeconomic Theory.
 McGraw-Hill, Inc., 1995.
- 15
- 
R.N. Mantegna and H.E. Stanley.
 Scaling behaviour in the dynamics of an economic index.
 Nature, 376:46-49, 1995.
- 16
- 
H.M. Markowitz.
 Foundations of portfolio theory.
 J. Fin., 46:469-477, 1991.
- 17
- 
S.N. Neftci.
 An Introduction to the Mathematics of Financial Derivatives.
 Academic Press, 1996.
- 18
- 
W.H. Press, S.A. Teukolsky, W.T. Vetterling, and B.P. Flannery.
 Numerical Recipies.
 Cambridge University Press, second edition, 1992.
- 19
- 
R. Rebonato.
 Interest-Rate Option Models.
 Wiley & Sons Ldt, UK, 1996.
- 20
- 
A. Sczepessy.
 Unpublished lecture notes.
 Nada, KTH, SE-100 44 Stockholm, Sweden, 2001.
- 21
- 
W.F. Sharpe.
 Investments.
 Prentice-Hall, 1985.
- 22
- 
N.G. VanKampen.
 Stochastic Processes in Physics and Chemistry.
 North-Holland Personal Library, 1992.
- 23
- 
O. Vasicek.
 An equilibrium characterisation of the term structure.
 J. Finan. Econ., 5:177-188, 1977.
- 24
- 
P. Wilmott, J. Dewynne, and S. Howison.
 Option Pricing.
 Oxford Financial Press, 1993.