Risk 1 - Hans Buehler

Numerical Methods
References
— [1] Gatheral: The Volatility Surface, Wiley, 2006
— [2] Dupire: Pricing with a Smile, Risk, 7 (1), pp. 18-20, 1996
— [3] Black, Scholes: The Pricing of Options and Corporate Liabilities, Journal of Political
Economy, 81, pp. 637-59, 1973
— [4] Carr, Madan: Option Valuation Using the Fast Fourier Transform, Journal of Computational
Finance, 2, 1998
— [5] Ren, Madan, Qian: Calibrating and pricing with embedded local volatility models, Risk,
September 2007
— [6] Buehler, Volatility Markets, VDM Verlag, 2008
— [7] Merton: Option Pricing When Underlying Stock Returns are Discontinuous. Journal of
Financial Economics 3 (1976) pp. 125-144, 1976
— [8] Cont, Tankov: ―Financial modeling with Jump Processes‖, Chapman & Hall / CRC Press,
2003
— [9] Buehler, Volatility and Dividends, Working paper, 2008, http://www.math.tuberlin.de/~buehler/
— [10] Glasserman, ―Monte Carlo Methods in Financial Engineering‖, Springer 2004
— [11] Andersen, Piterbarg: Moment Explosions in Stochastic Volatility Models WP~2004,
http://ssrn.com/abstract=559481
— [12] Bermudez, Buehler, Ferraris, Jordinson, Lamnouar, Overhaus: ―Equity Hybrid
Derivatives‖, Wiley, 2006
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