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bibliography.bib
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@misc{StateStreetGlobalAdvisors2019,
author = {{State Street Global Advisors}},
title = {{SPY: SPDR S{\&}P 500 ETF Trust}},
url = {https://us.spdrs.com/en/etf/spdr-sp-500-etf-SPY},
urldate = {2019-02-12},
year = {2019}
}
@incollection{Florescu2019,
address = {Hoboken, NJ},
author = {Florescu, Ionut},
booktitle = {Computational Methods in Finance},
chapter = {1},
keywords = {simpson's rule},
mendeley-tags = {simpson's rule},
pages = {25--26},
title = {{1.11.4 Simpson's Rule}},
year = {2019}
}
@book{Shreve2004,
address = {Pittsburgh, PA},
author = {Shreve, Steven E.},
isbn = {0-387-40101-6},
keywords = {Black-Scholes-Merton Model,Option Pricing},
mendeley-tags = {Black-Scholes-Merton Model,Option Pricing},
number = {April},
pages = {153--164},
publisher = {Springer Finance},
title = {{Stochastic Calculus for Finance II}},
year = {2004}
}
@techreport{OptionsSymbologyInitiative2008,
address = {Chicago, IL},
author = {{Options Symbology Initiative Working Group}},
institution = {The Options Clearing Commission (OCC)},
keywords = {option naming},
mendeley-tags = {option naming},
pages = {1--18},
title = {{Options Symbology Initiative}},
url = {https://www.theocc.com/components/docs/initiatives/symbology/symbology{\_}initiative{\_}v1{\_}8.pdf},
year = {2008}
}
@misc{Armstrong2018,
author = {Armstrong, Whit and Eddelbuettel, Dirk and Laing, John},
title = {{Rblpapi: R Interface to 'Bloomberg' (CRAN)}},
url = {https://cran.r-project.org/web/packages/Rblpapi/index.html},
urldate = {2019-02-10},
year = {2018}
}
@misc{BloombergL.P.2019,
address = {New York, NY},
author = {{Bloomberg L.P.}},
publisher = {Bloomberg L.P.},
title = {{Bloomberg Professional Services - Terminal}},
url = {https://www.bloomberg.com/professional/solution/bloomberg-terminal/},
year = {2019}
}
@book{Tedlow1996,
abstract = {Previously published: New York : Basic Books, 1990.},
author = {Tedlow, Richard S.},
isbn = {9780875846729},
pages = {483},
publisher = {Harvard Business School Press},
title = {{New and improved : the story of mass marketing in America}},
url = {https://www.amazon.com/New-Improved-Story-Marketing-America/dp/0875846726},
year = {1996}
}
@misc{CBOEChicagoBoardOptionsExchange2019,
author = {{CBOE (Chicago Board Options Exchange)}},
title = {{VIX: Volatility Index}},
url = {http://www.cboe.com/vix},
urldate = {2019-02-12},
year = {2019}
}
@misc{Wolfram|Alpha2019,
author = {Wolfram|Alpha},
title = {{Wolfram|Alpha Computational Intelligence}},
url = {https://www.wolframalpha.com/},
urldate = {2019-03-31},
year = {2019}
}
@book{Stefanica2011,
address = {New York, NY},
author = {Stefanica, Dan},
edition = {First Edit},
isbn = {0-9797576-2-2},
keywords = {Option Pricing,financial engineering},
mendeley-tags = {Option Pricing,financial engineering},
pages = {89--96},
publisher = {FE Press},
title = {{A Primer for the Mathematics of Financial Engineering}},
year = {2011}
}
@article{Trigeorgis1991,
author = {Trigeorgis, Lenos},
doi = {10.2307/2331209},
issn = {00221090},
journal = {The Journal of Financial and Quantitative Analysis},
month = {sep},
number = {3},
pages = {309},
title = {{A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments}},
url = {https://www.jstor.org/stable/2331209?origin=crossref},
volume = {26},
year = {1991}
}
@misc{Weerawarana2016,
author = {Weerawarana, Rukmal},
title = {{Homework 3 - CFRM 460 (Mathematical Methods for Computational Finance) - University of Washington - rukmal - GitHub}},
url = {https://github.com/rukmal/CFRM-460-Homework/blob/master/Homework 3/Homework 3 Solutions.pdf},
urldate = {2019-02-12},
year = {2016}
}
@misc{BoardofGovernorsoftheFederalReserveSystem2019,
author = {{Board of Governors of the Federal Reserve System}},
title = {{Selected Interest Rates (Daily) - H.15}},
url = {https://www.federalreserve.gov/releases/h15/},
urldate = {2019-02-12},
year = {2019}
}
@misc{Weerawarana2019,
author = {Weerawarana, Rukmal},
title = {{FE 621 Homework - rukmal - GitHub}},
url = {https://github.com/rukmal/FE-621-Homework},
urldate = {2019-02-20},
year = {2019}
}
@incollection{Florescu2019a,
address = {Hoboken, NJ},
author = {Florescu, Ionut},
booktitle = {Computational Methods in Finance},
chapter = {6 - Tree M},
pages = {136--139},
title = {{6.5 Trinomial tree method and other considerations}},
year = {2019}
}
@techreport{Wiklund,
author = {Wiklund, Erik},
file = {:Users/rukmal/Library/Application Support/Mendeley Desktop/Downloaded/Wiklund - Unknown - Asian Option Pricing and Volatility.pdf:pdf},
title = {{Asian Option Pricing and Volatility}},
url = {http://www.diva-portal.org/smash/get/diva2:517594/FULLTEXT01.pdf}
}
@article{Heer2010,
author = {Heer, Jeffrey and Bostock, Michael and Ogievetsky, Vadim},
doi = {10.1145/1743546.1743567},
issn = {00010782},
journal = {Communications of the ACM},
month = {jun},
number = {6},
pages = {59},
title = {{A tour through the visualization zoo}},
url = {http://portal.acm.org/citation.cfm?doid=1743546.1743567},
volume = {53},
year = {2010}
}
@techreport{Carr,
abstract = {In this paper the authors show how the fast Fourier transform may be used to value options when the characteristic function of the return is known analytically.},
author = {Carr, Peter and Madan, Dilip B},
file = {:Users/rukmal/Library/Application Support/Mendeley Desktop/Downloaded/Carr, Madan - Unknown - Option valuation using the fast Fourier transform.pdf:pdf},
title = {{Option valuation using the fast Fourier transform}},
url = {http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.348.4044{\&}rep=rep1{\&}type=pdf}
}
@techreport{Westermark,
abstract = {This thesis examines the performance of five option pricing models with respect to the pricing of barrier options. The models include the Black-Scholes model and four stochastic volatility models ranging from the single-factor stochastic volatility model first proposed by Heston (1993) to a multi-factor stochastic volatility model with jumps in the spot price process. The stochastic volatility models are calibrated using four different loss functions to examine the loss functions effect on the resulting barrier option prices. Our results show that the Black-Scholes model yields significantly different prices than the stochastic volatility models for barriers far from the current spot price. The prices of the four stochastic volatility models are however very similar. We also show that the choice of loss function for parameter estimation has little effect on the obtained barrier option prices.},
author = {Westermark, Niklas},
file = {:Users/rukmal/Library/Application Support/Mendeley Desktop/Downloaded/Westermark - Unknown - Barrier Option Pricing Degree Project in Mathematics, First Level.pdf:pdf},
title = {{Barrier Option Pricing Degree Project in Mathematics, First Level}},
url = {https://www.math.kth.se/matstat/seminarier/reports/K-exjobb09/090601a.pdf}
}