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• W4236022651 abstract "Free Access Bibliography Eric Chin, Eric Chin MSc in Applied Statistics and an MSc in Mathematical Finance both from University of Oxford; PhD in Mathematics from University of Dundee, UKSearch for more papers by this authorDian Nel, Dian Nel BEng in Electrical and Electronic Engineering from Stellenbosch University; MSc in Mathematical Finance from Christ Church, Oxford University; Chartered Engineer registered with the Engineering Council, UKSearch for more papers by this authorSverrir Ólafsson, Sverrir Ólafsson MSc and PhD in mathematical physics from the Universities of Tübingen and Karlsruhe, GermanySearch for more papers by this author Book Author(s):Eric Chin, Eric Chin MSc in Applied Statistics and an MSc in Mathematical Finance both from University of Oxford; PhD in Mathematics from University of Dundee, UKSearch for more papers by this authorDian Nel, Dian Nel BEng in Electrical and Electronic Engineering from Stellenbosch University; MSc in Mathematical Finance from Christ Church, Oxford University; Chartered Engineer registered with the Engineering Council, UKSearch for more papers by this authorSverrir Ólafsson, Sverrir Ólafsson MSc and PhD in mathematical physics from the Universities of Tübingen and Karlsruhe, GermanySearch for more papers by this author First published: 02 September 2014 https://doi.org/10.1002/9781118845141.biblio AboutPDFPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShareShare a linkShare onFacebookTwitterLinked InRedditWechat References Abramovitz, M. and Stegun, I.A. 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The Oxford Guide to Financial Modeling: Applications for CapitalMarkets, Corporate Finance, Risk Management and Financial Institutions. Oxford University Press, Oxford, United Kingdom. Hsu, Y.L., Lin, T.I. and Lee, C.F. (2008). Constant elasticity of variance (CEV) option pricing model: Integration and detail derivation. Mathematics and Computers in Simulation, 79(1), pp. 60– 71. Hull, J. (2011). Options, Futures, and Other Derivatives, 6th edn. Prentice Hall, Englewood Cliffs, NJ. Itō, K. (1951). On stochastic differential equations: Memoirs. American Mathematical Society, 4, pp. 1– 51. Joshi, M. (2008). The Concepts and Practice of Mathematical Finance, 2nd edn. Cambridge University Press, Cambridge. Joshi, M. (2011). More Mathematical Finance. Pilot Whale Press, Melbourne. Jowett, B. and Campbell, L. (1894). Plato's Republic, The Greek Text, Edited with Notes and Essays. Clarendon Press, Oxford. Kac, M. (1949). On distributions of certain Wiener functionals. Transactions of the American Mathematical Society, 65(1), pp. 1– 13. Karatzas, I. and Shreve, S.E. (2004). Brownian Motion and Stochastic Calculus, 2nd edn. Springer-Verlag, Berlin. Kluge, T. (2006). Pricing Swing Options and Other Electricity Derivatives. DPhil Thesis, University of Oxford. Kolmogorov, A. (1931), Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung. Mathematische Annalen, 104, pp. 415– 458. Kou, S.G. (2002). A jump-diffusion model for option pricing. Management Science, 48, pp. 1086– 1101. Kwok, Y.K. (2008). Mathematical Models of Financial Derivatives, 2nd edn. Springer-Verlag, Berlin. Lucia, J.J. and Schwartz, E.S. (2002). Electricity prices and power derivatives: Evidence from the Nordic Power Exchange. Review of Derivatives Research, 5, pp. 5– 50. Merton, R. (1973). The theory of rational option pricing. Bell Journal of Economics and Management Science, 4, pp. 141– 183. Merton, R. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3, pp. 125– 144. Musiela, M. and Rutkowski, M. (2007). Martingale Methods in Financial Modelling, 2nd edn. Springer-Verlag, Berlin. Øksendal, B. (2003). Stochastic Differential Equations: An Introduction with Applications, 6th edn. Springer-Verlag, Heidelberg. Rice, J.A. (2007). Mathematical Statistics and Data Analysis, 3rd edn. Duxbury, Belmont, CA. Ross, S. (2002). A First Course in Probability, 6th edn. Prentice Hall, Englewood Cliffs, NJ. Samuelson, P.A. (1965). Rational theory of warrant pricing. Industrial Management Review, 6(2), pp. 13– 31. Shreve, S.E. (2005). Stochastic Calculus for Finance; Volume I: The Binomial Asset Pricing Models. Springer-Verlag, New York. Shreve, S.E. (2008). Stochastic Calculus for Finance; Volume II: Continuous-Time Models. Springer-Verlag, New York. Stulz, R.M. (1982). Options on the minimum or the maximum of two risky assets: Analysis and applications. Journal of Financial Economics, 10, pp. 161– 185. Wiener, N. (1923). Differential space. Journal of Mathematical Physics, 2, pp. 131– 174. Wilmott, P., Dewynne, J. and Howison, S. (1993). Option Pricing: Mathematical Models and Computation. Oxford Financial Press, Oxford. Problems and Solutions in Mathematical Finance ReferencesRelatedInformation" @default.
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