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Financial Quantitative Algorithms

Below you'll find a list usefull books that I read as a part of the Practitioner's life

 

Table of Practitioner's Papers

 

An open source library for quantitative finance

QL team (in progress..)

Monte Carlo Simulation With Java and C++

Michael J. Meyer (2003)

Quantitative Methods in Derivatives Pricing.

D. Tavella (2007)

The Laplace Transform: Theory and Applications

Schiff (2006)

A Foreign exchange Primer

Shamah, S (2003)

Stochastic Calculus for Finance I

Shreve (2003)

Options, Futures and Other Derivatives.

J. C. Hull (2001)

Volatility and Correlation in the Pricing of Equity, FX, and Interest-rate Options

Riccardo Rebonato (2000)

Interest Rate Models.

Brigo, Mercurio

 

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