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 http://isis.ku.dk/kurser/blob.aspx?feltid=89052

[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, http://www.math.lsa.umich.edu/~divakar/papers/SadiqViswanath2010A.pdf

[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