**
**

Hull, J.C., __Options,
Futures, and Other Derivative Instruments__, 2^{nd} Ed., Prentice
Hall, 1989

Miron, P, and
Swannell, P., __Pricing and Hedging Swaps__,
Euromoney Books, 1996 probably
the single best Swaps book for traders (although you should compare this to the
soon to be released *ART's* Trader's Guide to Swap Pricing)

Fabozzi, F.J., __The
Handbook of Fixed Income Securities__, 3^{rd} Ed, Business One Irwin,
1991. if you are only to buy one book on IR
securities and derivatives, this is the one

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**
**
Alexander, C., Ed., __The Handbook of Risk Management and
Analysis__, J. Wiley, 1996

Drezner, Z., __
On
the Computation of the Bivariate Normal Integral__, Stats. Comp. Sim. Vol. 35,
1990.
__
____
__

Geske R,
__
The
Valuation of Compound Options__, J of Fin. Economics, March 1979
__
____
__

__
____From
Black-Holes to Black-Scholes__, RISK/Finex, 1992
__
____
__

Goldman, B., Sosin, H., and Gatto, M.A.,
__
Path
Dependent Options: Buy at the Low Sell at the High__, J of Finance, Dec 1979.

Hull, J.C.,
__
Options, Futures, and Other Derivative
Instruments__Hull, J.C., Options, Futures, and Other Derivative
Instruments, 2^{nd} Ed., Prentice Hall, 1989

Jarrow, R. Ed., __Over
the Rainbow: Developments in Exotic Options and Complex Swaps__, RISK
Publications, 1995.

Kemna, A.G.Z., Vorst, A.C.F., __ Options on Average Asset
Values__, Faculty of Economics, Erasmus
University, Rotterdam, Netherlands, 1987.

Kemna, A.G.Z., Vorst, A.C.F., __Options
on Average Asset Values__, Faculty of Economics, Erasmus
University, Rotterdam, Netherlands, 1987.

Levy, E. , __The
Valuation of Average Rate Currency Options__, Midland Montagu, 1991.

Margrabe, W.,__
The Value of an Option to Exchange One Asset for Another__, J. of Finance,
March 1978.

Nelken, I., Ed., __The Handbook of Exotic Options: Instruments, Analysis, and Applications__,
Irwin 1996.

Rebonato,
R., __Interest Rate Option Models:
understanding, analysing and using models for exotic interest rate options__,
John Wiley and Sons, 1996

Rubinstien, M., __
Exotic Options__, U. of California at Berkley, (Preliminary Version), May
1991.

Turnbull,
S.M., Wakeman, L.M., __A
Quick Algorithm for Pricing European Average Rate Options__, J of Finance and
Quantitative Analysis, Vol. 26, 377-89.

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Wilmott, P., Howison, S, and Dewynne, J., __The
Mathematics of Financial Derivatives: a student introduction__, Cambridge
University Press, 1996.

Gardiner, C.W., __Handbook
of Stochastic Methods for physics, chemistry and the natural sciences__, 2^{nd}
Ed, Springer-Verlag, 1990 a little "quanty"
for non-specialists, but thorough

Papoulis, A. __Probability,
Random Variables, and Stochastic Processes__, 2^{nd} Ed, McGraw-Hill,
1984

Shimko, D.,C., __Finance
in Continuous Time: a primer__, Kolb Publishing Co., 1992.

Baxter, M., and Rennie, A.,
__Financial Calculus: an introduction to
derivative pricing__, Cambridge University Press, 1997. a
little "quanty" for non-specialists, and somewhat academic but its a
good start for stochastic calculus

Drezner, Z., __On the
Computation of the Bivariate Normal Integral__, Stats. Comp. Sim. Vol. 35,
1990.

Press, W.H., et al, __Numerical
Recipes in FORTRAN, The art of scientific computing__, 2^{nd} Ed,
Cambridge University Press, 1992. if you are only
going to buy one book on numerical methods, this is a good starting point, but remember
... numerical methods can be tricky and no one book will keep novices from
"blowing up". Also available in C, Pascal, and Basic.

For an introduction to Partial Differential Equations,
start with

Farlow,
Stanley J. *Partial
Differential Equations for Scientists and Engineers.*
New York: Dover, 1993. 414 p. Very
good starter book to provide the "basic" description of many
useful methods.

Gustafson,
Karl E. *Introduction
to Partial Differential Equations and Hilbert Space Methods,* New
York, NY: John Wiley, 1980, 1987. Second Edition. Excellent
first for a deeper look at the "usual" method for PDEs.

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##

Law, A., M., and Kelton, W., D., __Simulation Modeling
and Analysis__, 2^{nd} Ed., McGraw-Hill, 1991. not
specifically for the investment and trading business but a good reference anyway

Barraquand, J and D.
Martineau (1994) __Numerical Valuation of
High Dimensional Multivariate American Securities__,
Digital Paris Research Report

Broadi M and P
Glasserman (1995) __Pricing American Style
Securities Using Simulation__, Working Paper Columbia University

Dennis P and R J
Rendleman (1995) __Pricing Financial Claims
Subject to Interest Rate Risk and Default Risk__, Working Paper University of
North Carolina.

Grane D., D. Vora and
D Weeks (1993) __Path Dependent Options:
Extending the Monte Carlo Approach__, Working Paper University of New Mexico.

Tilley J A (1993) __Valuing
American options in a Path Simulation Model__, Transactions of the Society of
Actuaries XLV p 499-520

Curran, M. __Strata
Gems__, in Over the Rainbow clever
bit of insight on a method for efficiently generating "Greeks" via MC

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Alexander, C., Ed., __The Handbook of Risk Management and
Analysis__, J. Wiley, 1996

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