Reading List

Reading List

Excel

Brenner, Richard "Names".

Dalton, Steve (2007) Financial applications using Excel add-in development in C/C++. Chichester, U.K.: Wiley.

Frontline Systems "Controlling Solver with VBA".

Fylstra, Daniel, Leon Lasdon, John Watson, and Allan Waren (1998) "Design and use of Microsoft Excel solver", Interfaces 28(5), 29.55.

Green, Martin "Build an Excel Add-In".

Hawley, David, and Raina Hawley (2004) Excel Hacks. Sebastopol, CA: O'Reilly.

Jackson, Mary, and Mike Staunton (2001) Advanced modelling in finance using Excel and VBA. Chichester: Wiley.

Knüsel, Leo (1998) "On the accuracy of statistical distributions in Microsoft Excel 97", Computational Statistics and Data Analysis 26, 375-377.

Knüsel, Leo (2002) "On the reliability of Microsoft Excel XP for statistical purposes", Computational Statistics and Data Analysis 39, 109-110.

Knüsel, Leo (2005) "On the accuracy of statistical distributions in Microsoft Excel 2003", Computational Statistics and Data Analysis 48, 445-449.

Koffler, Michael (2003) Definitive guide to Excel VBA. Author's Press, Springer-Verlag.

McCullough, B. D. (2008) "Microsoft Excel's 'Not the Wichmann-Hill' random number generators", Computational Statistics and Data Analysis 52, 4587-4593.

McCullough, B. D., and Berry Wilson (1999) "On the accuracy of statistical procedures in Microsoft Excel 97", Computational Statistics and Data Analysis 31, 27-37.

McCullough, B. D., and Berry Wilson (2002) "On the accuracy of statistical procedures in Microsoft Excel 2000 and Excel XP", Computational Statistics and Data Analysis 40, 713-721.

Roman, Steven (2002) Writing Excel macros with VBA. Sebastopol, CA: O'Reilly.

Walkenbach, John (2001) Microsoft Excel 2002 formulas. New York: Wiley.

Bonds

CME Group "A simple treasury duration adjustment".

Fabozzi, Frank (1997) Fixed income mathematics. Chicago, IL: Irwin.

Luenberger, David G. (1998) Investment science. New York: Oxford University Press.

Rendleman, Richard J. (1999) "Duration-based hedging with Treasury bond futures", Journal of Fixed Income 9(1), 84-91.

Tuckman, Bruce (2002) Fixed income securities: Tools for today's markets. Hoboken, NJ: Wiley.

de La Grandville, Olivier (2001) Bond pricing and portfolio analysis: Protecting investors in the long run. Cambridge, MA: MIT Press.

Interest rate swaps

Flavell, Richard (2010) Swaps and other derivatives. Chichester, UK: Wiley.

Option pricing

Chance, Don (2007) "A synthesis of binomial option pricing models for lognormally distributed assets".

Chriss, Neil A. (1996) Black-Scholes and beyond: Option pricing models. McGraw-Hill.

Clewlow, Les, and Chris R. Strickland (1998) Implementing derivatives models. Chichester: Wiley.

Pelsser, Antoon, and Ton C. Vorst (1994) "The binomial model and the Greeks", Journal of Derivatives 1(3), 45-49.

Tian, Yisong (1993) "A modified lattice approach to option pricing", The Journal of Futures Markets 13(5), 563-577.