Python for Finance: Analyze Big Financial Data by Yves Hilpisch

Author:Yves Hilpisch [Hilpisch, Yves]
Language: eng
Format: epub, azw3, mobi, pdf
Tags: COMPUTERS / Programming Languages / Python
ISBN: 9781491945278
Publisher: O'Reilly Media
Published: 2014-12-11T08:00:00+00:00

Further Reading

The original article introducing Monte Carlo simulation to finance is:

Boyle, Phelim (1977): “Options: A Monte Carlo Approach.” Journal of Financial Economics, Vol. 4, No. 4, pp. 322–338.

Other original papers cited in this chapter are (see also Chapter 16):

Black, Fischer and Myron Scholes (1973): “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy, Vol. 81, No. 3, pp. 638–659.

Cox, John, Jonathan Ingersoll and Stephen Ross (1985): “A Theory of the Term Structure of Interest Rates.” Econometrica, Vol. 53, No. 2, pp. 385–407.

Heston, Steven (1993): “A Closed-From Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.” The Review of Financial Studies, Vol. 6, No. 2, 327–343.

Merton, Robert (1973): “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science, Vol. 4, pp. 141–183.

Merton, Robert (1976): “Option Pricing When the Underlying Stock Returns Are Discontinuous.” Journal of Financial Economics, Vol. 3, No. 3, pp. 125–144.

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