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8. On Python

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9. References

9.1. Books and articles

[AbramowitzStegun]Milton Abramowitz and Irene A. Stegun Handbook of Mathematical Functions 1969 Dover
[Adams]Adams, Ken Smoth Interpolation of Zero Curves, ALGO RESEARCH Quarterly, Vol 4. NOS 1/2 March/June, 2001
[AndersenBohrPetersen]Andersen, A.F., Bohr, Harald and Petersen, Richard Matematisk analyse II, 1969, Akademisk Forlag
[BerrutTrefethen]J.P. Berrut and L.N. Trefethen. Barycentric Lagrange interpolation. SIAM Review, 46(3):501–517, 2004.
[Bierwag]Gerald O. Bierwag Duration analysis - Managing Interest Rate Risk, 1987, Ballinger
[CampbellLoMacKinlay]Campbell, John Y., Lo, Andrew W. and MacKinlay, A. Craig The Econometrics of Financial Markets, 1997, Princeton University Press
[Christensen]Christensen, Michael, Obligationsinvestering 5. udgave, 2001, Jurist og Økonomforbundets Forlag
[Choirat]Choirat, Christine and Seri, Raffello, Econometrics with Python, Journal of Applied Econometrics, 2009, vol. 24, issue 4, pages 698-704
[CopelandWeston]Copeland, Thomas E. and Weston, J. Fred Financial Theory and Corporate Policy, 1992, Addison-Wesley
[delaGrandville]Olivier de la Grandville Bond Pricing and Portfolio Analysis, 2003, Mit Press Ltd
[Dierckx]Dierckx, P., Curve and Surface Fitting with Splines, 1993, Monographs on Numerical Analysis, Oxford University Press
[Elliott]Elliott, Robert James Stochastic Calculus with Applications, 1982, Springer
[Fabozzi]Fabozzi, Frank J., Fixed Income Mathematics: Analytical and Statistical Techniques, 1997, McGraw-Hill Education
[FabozziKonishi]Fabozzi, Frank J. and Konishi, Atuso The Handbook of Asset/Liability Management, 1996, Irwin/McGraw-Hill
[FletcherGardner]Fletcher, Shayne and Gardner, Christopher, Financial Modeling with Python, 2009, Wiley
[FisherWeil]Fisher, L., and R.L. Weil, Coping With the Risk of Market-Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies, 1971, Journal of Business, (October), 408-431.
[Fooladi]Iraj J. Fooladi, Risk Management with Duration Analysis, 2000, Managerial Finance, Vol. 26 Iss: 3, pp.18 - 28.
[Fornberg]Bengt Fornberg Generation of Finite Difference Formulas on Arbitrarily Spaced Grids Mathematics of Computation, Vol. 51, No. 184 (Oct., 1988), pp. 699-706
[GrosenFredslund-Møller]Immunisering af porteføljer, 1984, Nationaløkonomisk Tidsskrift nr. 2
[Hull2000]Hull, John C. Options, Futures, & Other Derivatives, 2000, Prentice Hall
[JamesWebber]Interest Rate Modelling, 2000, John Wiley
[KarlinTaylor1975]A first course in Stochastic Processes, 2. Ed., 1975, Academic Press
[KarlinTaylor1981]A second course in Stochastic Processes, 1981, Academic Press
[Kiusalaas]Kiusalaas, Jaan, Numerical Methods in Engineering with Python, 2005 Cambridge University Press
[LandoPoulsen]David Lando and Rolf Poulsen, Lecture Notes for the course Investerings- og Finansieringsteori, 2006
[Langtangen2005]Langtangen, H. P., Python Scripting for Computational Science 2. ed., 2005, Springer.
[Langtangen2009]Langtangen, H. P., A Primer on Scientific Programming with Python, 2009, Springer.
[Macauley]Macaulay, F.R. Some Theoretical Problems Suggested by the Movements of Interest Rates Bond Yields and Stock Prices in the U.S since 1856., 1938, New York National Bureau of Economic Research.
[Munk2000A]Indledende obligations og rentestrukturanalyse, 2000, Undervisningsnote, Syddansk Universitet.
[Munk2000B]Videregående obligations og rentestrukturanalyse – Modeller til prisfastsættelse og risikostyring, 2000, Undervisningsnote, Syddansk Universitet.
[Ralston]Ralston, Anthony and Rabinowitz, Philip, A First Course in Numerical Analysis 2. ed., 1978, McGraw-Hill
[Pliska]Pliska, Stanley R., Introduction to Mathematical Finance: Discrete Time Models, 1997, Blackwell Publishing
[Rebonato1998]Rebonato, Riccardo Interest-Rate Option Models, 1998, John Wiley
[SadiqViswanath]Sadiq, Burhan and Viswanath, Divakar, Finite Difference Weights Using the Modified Lagrange Interpolant,
[Sadr]Sadr, Amir, Interest rate swaps and their derivatives: a practitioner’s guide, 2009, Wiley
[Wilmot]Wilmot, John Derivatives – The Theory and Practice of Financial Engineering, 1998, John Wiley
[Øksendal]Øksendal, Bernt Stochastic Differential Equations, 1998 Springer