Méthodes numériques en finance

15 ELEMENTS BIBLIOGRAPHIQUES 217
15 Elements bibliographiques
Hull, J. (2003). Options, futures et autres actifs dérivés. Pearson.
Lamberton, D. & Lapeyre, B. (1997). Introduction au calcul stochastique appliqué
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l’optimisation. Dunod.
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équations aux dérivées partielles. Masson.
Willmott, P., Howison, S. & Dewynne, J. (1997). The mathematics of financial
derivatives. Cambridge University Press.
Rogers, L.C.G. & Talay, D. (1997). Numerical Methods in Finance. Publications
of the Newton Institute. Cambridge University Press.
Talay, D. (1995). Simulation and numerical analysis of stochastic differential systems
: a review. in P. Krée and W. Wedig, editors, Probabilistic Methods in Applied
Physics, volume 451 of Lecture Notes in Physics, chapter 3, pages 54-96. Springer-
Verlag.
Kloeden, P.E. & Platen, E. (1995). Numerical Solution of Stochastic Differential
Equations. Springer-Verlag.
Tavella, D. & Randall, K. (2000). Pricing Financial Instruments: The Finite
Difference Method. John Wiley.
Tavella, D. (2002). Quantitative Methods in Derivative Pricing: An Introduction
to Computational Finance. John Wiley.
Teman, E. (2004). Méthodes de Monte Carlo pour la finance. Notes de cours, DEA
Paris 6.
Lapeyra, B., Sulem, A. & Talay, D. (2000). Understanding Numerical Analysis
for Option Pricing. Cambridge University Press.
Jackel, P. (2002). Monte Carlo Methods in Finance. John Wiley.
Cox, J. & Rubinstein, M. (1985). Options Markets. Englewood Cliffs, Prentice-
Hall.
Demange, G. & Rochet, J.C. (1992) Méthodes mathématiques de la Finance.
Economica.
Simon, Y. edt. (1997). Encyclopédie des marchés financiers. Economica.
Karatzas, I. & Shreve, S. (1988).
Springer.
Brownian motion and stochastic calculs.
Haug, E.G. (1997). The complete guide to option pricing formulas. Mc Graw Hill.
Kunsher, H. (1977). Probabilistic methods for approximations in stochastic control
and elliptic equation. Academic Press.
Arthur CHARPENTIER - Méthodes numériques en Finance