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3.8 Further reading and links

  • Trees.
    Hull $ ^\diamondsuit$ [11].
  • Option pricing.
    Hull $ ^\diamondsuit$ [11], Wilmott $ ^\spadesuit$ [24], Neftci $ ^\spadesuit$ [17], Björk $ ^{\spadesuit\spadesuit}$ [2], Duffie $ ^{\spadesuit\spadesuit}$ [7], Rebonato $ ^{\spadesuit\spadesuit}$ [19].
  • Stochastic differential equations (SDEs).
    Kloeden $ ^{\spadesuit\spadesuit}$ [13], Van Kampen $ ^{\spadesuit\spadesuit}$ [22], Sczepessy $ ^{\spadesuit\spadesuit}$ [20].
  • Partial differential equations (PDEs).
    Numerical methods for PDEs $ ^\spadesuit$ [12] and references therein.



      
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