Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
Printable PDF file
I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.


  1. [Abramowitz]

    Milton Abramowitz, Irene A. Stegun. Handbook of Mathematical Functions.

  2. [Andersen1998]

    Leif Andersen, Jesper Andreasen. Volatility Skews and Extensions of the Libor Market Model. August 1998.

  3. [Andersen1999]

    Leif Andersen. A Simple Approach to the Pricing of Bermudian Swaptions in the Multi-Factor Libor Market Model. March, 1999.

  4. [Andersen2001]

    Extended Libor Market Models with Stochastic Volatility. 2001.

  5. [Andersen2005]

    Leif Andersen. Discount Curve Construction with Tension Splines. December 2005.

  6. [Andersen2007]

    Leif Andersen. Efficient Simulation of the Heston Stochastic Volatility Model. January 2007.

  7. [AndersenOnLine]

    Leif Andersen's lecture notes on Credit Modelling at NYU Math Department's web-site.

  8. [Antonov2006]

    A. Antonov, T. Misirpashaev. Markovian Projection onto a Displaced Diffusion: Generic Formulas with Applications. October 9, 2006.

  9. [Antonov2006a]

    A. Antonov, T. Misirpashaev. Efficient Calibration to FX Options by Markovian Projection in Cross-Currency LIBOR Market Models. October 10, 2006.

  10. [Antonov2007]

    A. Antonov, T. Misirpashaev, V. Piterbarg. Markovian Projection onto a Heston Model. June 2007.

  11. [Avellaneda1995]

    M. Avellaneda, A. Levy, A.Paras. Pricing and Hedging Derivatives Securities in Markets with Uncertain Volatilities. 1995.

  12. [CarrWu2006]

    Gurdip Bakshi, Peter Carr, Liuren Wu. Stochastic Risk Premiums, Stochastic Skewness in Currnecy Options, and Stochastic Discount Factors in International Economies. December 2006.

  13. [AvellanedaLawrence]

    Marco Avellaneda, Peter Lawrence. Quantitative Modelling of Derivative Securities. CRC Press, 1999.

  14. [Bensoussan]

    A. Bensoussan, J.L. Lions. Applications of Variational Inequalities in Stochastic Control.

  15. [Bertoin]

    Jean Bertoin. Levy Processes.

  16. [Bertsekas2003]

    Dimitri P. Bertsekas. Convex Analysis and Optimization.

  17. [Bielecki]

    Tomasz R. Bielecki, Marek Rutkowski. Credit Risk: Modeling, Valuation and Hedging.

  18. [Brenner]

    Susanne C. Brenner, L.Ridgway Scott. The Mathematical Theory of Finite Element Methods.

  19. [Boost]

    Boost C++ library, http://www.boost.org/ .

  20. [Calamos]

    Nick P. Calamos. Convertible Arbitrage.

  21. [Casella]

    George Casella, Roger L. Berger. Statistical Inference.

  22. [CarrMadan2000]

    Peter Carr, Helyette Geman, Dilip B. Madan. Pricing and hedging in incomplete markets. 2000.

  23. [CarrMadan1998]

    Dilip B. Madan, Peter Carr, Eric C. Chang. The Variance Gamma Process and Option Pricing. 1998.

  24. [CarrMadan1999]

    Peter Carr, Dilip Madan. Option valuation using the fast Fourier transform. 1999.

  25. [CarrWu2002]

    Peter Carr, Liuren Wu. Time-changed Levy processes and option pricing. 2002.

  26. [CarrWu2002a]

    Peter Carr, Helyette German, Dilip Madan, Marc Yor. Stochastic Volatility for Levy Processes. 2002.

  27. [CarrWu2006a]

    Peter Carr, Liuren Wu. Theory and evidence on the dynamic interations between sovereign credit default swaps and currency options. 2006.

  28. [Cherny2006]

    Pricing and Hedging in Incomplete Markets. Alexander Cherny, Dilip Madan. 2006.

  29. [Chung]

    Kai Lai Chung. A Course in Probability Theory.

  30. [Cohen]

    Albert Cohen, Ingrid Daubechies, Pierre Vial. Wavelets on the Interval and Fast Wavelet Transforms, 1993.

  31. [Duffie1999]

    Transform Analysis and Asset Pricing for Affine Jump-Diffusions. 1999.

  32. [Daubechies1992]

    Ingrid Daubechies, Jeffrey C. Lagarias. Two-Scale Difference Equations II. Local Regularity, Infinite Products of Matrices and Fractals.

  33. [Edwards]

    R.E.Edwards. Functional Analysis, Theory and Applications.

  34. [Erdelyi]

    A.Erdelyi. Asymptotic expansions.

  35. [Evans]

    Lawrence C. Evans. Partial Differential Equations.

  36. [Gatheral]

    Jim Gatheral. The Volatility Surface. A Practicioner's Guide.

  37. [Gautschi]

    Walter Gautschi. Orthogonal Polynomials. Computation and Approximation.

  38. [Gelman]

    Andrew Gelman, John B. Carlin, Hal S. Stern and Donald B. Rubin. Bayesian Data Analysis.

  39. [Gikhman]

    I.I. Gikhman, A.V. Skorohod. Introduction to theory of stochastic processes.

  40. [Glasserman]

    Paul Glasserman. Monte Carlo Methods in Financial Engineering.

  41. [Hamilton]

    James D. Hamilton. Time Series Analysis.

  42. [Haug]

    The Complete Guide to Option Pricing Formulas.

  43. [Hull]

    John C. Hull. Options, Futures and Other Derivatives.

  44. [Haykin]

    Kalman Filtering and Neural Networks. Edited by Simon Haykin.

  45. [Karatzas1]

    Ioannis Karatzas, Steven E. Shreve. Brownian Motion and Stochastic Calculus.

  46. [Karatzas2]

    Ioannis Karatzas, Steven E. Shreve. Methods of Mathematical Finance.

  47. [Kohn]

    Prof. Robert V. Khon's teaching web-site.

  48. [Kolmogorov]

    A.N. Kolmogorov, S.V. Fomin. Elements of Function Theory and Functional Analysis.

  49. [Lamberton]

    Damien Lamberton, Bernard Lapeyre. Introduction to Stochastic Calculus Applied to Finance.

  50. [Lemarie]

    P.G. Lemarie and G. Malgouyers, Supports des fonctions de base dans une analyse multiresolution, C.R.Acad.Sci. Paris 313 (1991), 377-380.

  51. [Lewis]

    Alan L. Lewis. Option Valuation under Stochastic Volatility.

  52. [Longstaff]

    Francis A. Longstaff, Eduardo S. Schwartz. Valuing American Options by Simulations: A simple Least-Squares Approach. 2001.

  53. [Mallat]

    Stephane Mallat. A wavelet tour of signal processing. The sparse way.

  54. [Marchuk]

    G.I. Marchuk. Methods of Computational Mathematics.

  55. [Mercurio]

    Damiano Brigo, Fabio Mercurio. Interest Rate Models. Theory and Practice.

  56. [Meyer]

    Ondelettes due l'intervalle, Rev. Mat. Iberoamericana 7, (1992), 115-133.

  57. [Musiela]

    Marek Musiela, Marek Rutkowski. Martingale Methods in Financial Modelling.

  58. [Nielsen]

    Lars Tyge Nielsen. Pricing and Hedging of Derivative Securities. Oxford University Press. 1999.

  59. [Numerical]

    William H. Press, Saul A. Teukolsky, William T. Vetterling, Brian P. Flannery. Numerical Recipes in C.

  60. [Oksendal]

    Bernt Oksendal. Stochastic Differential Equations.

  61. [OswaldOnline]

    Dr. Peter Oswald's personal webpage at http://www.faculty.iu-bremen.de/poswald/

  62. [PetersdorffSchwab]

    Numerical Solution of Parabolic Equations in High Dimensions.

  63. [Piterbarg2003]

    Vladimir V. Piterbarg. Mixture of Models: A simple recipe for hangover? July 2003.

  64. [Piterbarg2003a]

    Vladimir V. Piterbarg. A stochastic volatility forward libor model with a term structure of volatility smiles. October 2003.

  65. [Piterbarg2003b]

    Vladimir V. Piterbarg. Computing Deltas of Callable Libor Exotics in Forward Libor Models. January 2003.

  66. [Piterbarg2005]

    Vladimir V. Piterbarg. A Multi-Currency Model with FX Volatility Skew. February 2005.

  67. [Piterbarg2005a]

    Vladimir V. Piterbarg. Pricing and hedging callable Libor exotics in forward Libor models. 2005

  68. [Piterbarg2006]

    Vladimir Piterbarg. Markovian Projection Method for Volatility Calibration. May 2006.

  69. [Rebonato]

    Riccardo Rebonato. Interest-Rate Option Models.

  70. [RevuzYor]

    Daniel Revuz, Marc Yor. Continuous Martingales and Brownian Motion.

  71. [Rockafellar]

    R.Tyrrell Rockafellar. Convex Analysis.

  72. [Royden]

    Royden. Real Variable.

  73. [Schewchuk]

    Jonathan Richard Schewchuk. Introduction to Conjugate Gradient Method Without Agonizing Pain. 1994.

  74. [Shreve]

    Steven E. Shreve. Stochastic Calculus for Finance II. Continuous-Time Models.

  75. [ShreveOnLine]

    Steven Shreve's on-line notes on Math. Finance.

  76. [Sveshnikov]

    A. Sveshnikov & A. Tikhonov. The Theory of Functions of a Complex Variable.

  77. [Tavakoli]

    Janet M. Tavakoli. Credit Derivatives and Synthetic Structures.

  78. [Thomee]

    Vidar Thomee. Galerkin Finite Element Methods for Parabolic Problems.

  79. [Vladimirov]

    Equations of Mathematical Physics.

  80. [Walnut]

    David F. Walnut. An Introduction to Wavelet Analysis.

  81. [Wilmott123]

    Paul Wilmott On Quantitative Finance. Volumes 1,2,3.

  82. [Xu]

    Jinchao Xu. Iterative methods by space decomposition and subspace correction. 1992.

  83. [Yang]

    Dennis Yang. Quantitative Strategies for Derivatives Trading. 2006.

Notation. Index. Contents.

Copyright 2007