Professional Documents
Culture Documents
Option pricing
JPR, Financial Modeling Under Non-Gaussian Distributions, Chapters 10 and 12.1-12.2
P. Brandimarte, Numerical Methods in Finance and Economics:
A MATLAB-Based Introduction. Chapters 2.6-2.7. Pages 102123. Chapter 8, pages 429-483
Dynamic models for the yield curve
Diebold, F. X. And Li, C.,(2006): Forecasting the term
structure of government bond yields, Journal of Econometrics 130, 337-364.
Nelson, C.R., Siegel, A.F., (1987): Parsimonious modelling of
yield curve. Journal of Business 60, 473-489.