Bibliography
Books
Baxter, M. and Rennie, A. (1996) Financial Calculus, An Introduction to Derivatives Pricing, Cambridge University Press, Cambridge.
Black, F. and Scholes, M. (1973) ‘The pricing of options and corporate liabilities’, Journal of Political Economy, Vol. 81, No. 3, 637–654.
Cox, J. and Rubenstein, M. (1985) Options Markets, Prentice Hall, New Jersey.
Ford, D. (1996) Mastering Exchange Traded Equity Derivatives, Pearson Education, Harlow.
Hamming, R.W. (1973) Numerical Methods for Scientists and Engineers (2nd ed.), Dover Publications, New York.
Hull, J. (1997) Options, Futures and other Derivative Securities (3rd ed.), Prentice Hall, New Jersey.
Joshi, M.S. (2003) The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk), Cambridge University Press, Cambridge.
Kasapis, A. (2008) Mastering Credit Derivatives (2nd ed.), Pearson Education, Harlow.
McDougall, A. (1999) Mastering Swaps Markets, Pearson Education, Harlow.
Neftci, S.N. (2000) An Introduction to the Mathematics of Financial Derivatives (2nd ed.), Academic Press, San Diego.
Pilipovic, D. (1997) Energy Risk, McGraw-Hill, New York.
Price, J. and Henderson, S. (1988) Currency and Interest Rate Swaps, Butterworths, London.
Rebonato, R. (1996) Interest Rate Option Models, John Wiley & Sons, Chichester.
Steiner, R. (1999) Mastering Financial Calculations, Pearson Education, Harlow.
Stigum, M. and Robinson F.L. (1996) Money Market & Bond Calculations, Irwin Times Mirror Higher Education Group, New York
Taylor, J. (1996) Mastering Derivatives Markets, Pearson Education, Harlow.
Taylor, J. (2003) Mastering Foreign Exchange and Currency Options (2nd ed.), Pearson Education, Harlow.
Wilmot, P. Howison, S. and Dewyanne, J. (1995) The Mathematics of Financial Derivatives, Cambridge University Press, Cambridge.
Wilmott, P. (2007) Paul Wilmott Introduces Quantitative Finance (2nd ed.), John Wiley & Sons, Chichester.
Additional sources
Debt Management Office (2000), The DMO’s Yield Curve Model, United Kingdom Debt Management Office, London.
Hyperion (1999) Securities Institute Diploma – Financial Derivatives, Hyperion Training, Cork.
Hyperion (2000) Yields and the Yield Curve, Hyperion Training, Cork.
Electronic sources
Corporate credit ratings, retrieved from:Standard and Poor’s: http://www.standardandpoors.com/home/en/us Moody’s: http://www.moodys.com/cust/default.asp
Equity indices, retrieved from: Financial Times on-line, http://markets.ft.com/ft/markets/worldEquities.asp
Fujii, M., Shimada, Y. and Takahashi, A. (2010) ‘A note on construction of multiple swap curves with and without collateral’, Financial Research and Training Center, retrieved from http://www.fsa.go.jp/frtc/seika/discussion/2009/20100203-1.pdf
International currency codes, retrieved from: XE ISO 4217 Currency Code List,http://www.xe.com/iso4217.php
International derivatives exchanges, retrieved from: Futex, http://www.site-by-site.com/futex_world.htm
Lesniewski, A. (2008) ‘The forward curve’, retrieved from http://www.math.nyu.edu/~alberts/spring07/Lecture1.pdf
LIFFE interest rate financial futures contract specifications, retrieved from: Euronext, http://www.euronext.com
Probability distributions, retrieved from: NIST/SEMATECH e-Handbook of Statistical Methods, http://www.itl.nist.gov/div898/handbook/
Ron, U. (2010) ‘A practical guide to swap curve construction’, Bank of Canada Working Paper, retrieved from http://www.bankofcanada.ca/en/res/wp/2000/wp00-17.pdf
Zero curve methodology, retrieved from http://www.powerfinance.com/help/Zero_Curve_Methodology.htm