1. Cash Flow Engine Reference Guide
  2. Monte Carlo Analytics
  3. References

13.18 References

  1. Black, F. Interest Rates as Options. Journal of Finance, 1995.
  2. Bratley, P., and Fox. Algorithm 659: Implementing Sobol's Quasirandom Sequence generator. ACM Transactions on Mathematical Software, 1988.
  3. Caflisch, R., Morokoff, and A. Owen. Valuation of Mortgage-Backed Securities Using Brownian Bridges to Reduce Effective Dimension. Caflisch' World Wide Web site, 1997.
  4. 4. Chan, K.C., G.A. Karolyi, F.A. Longstaff, and A.B. Sanders. An Empirical Comparison of Alternative Models of the Short-Term Interest Rate. Journal of Finance, 1992.
  5. Fitton, P. Hybrid Low Discrepancy Sequences. Effective Path Reduction for Yield Curve Scenario Generation. To appear in the Journal of Fixed Income.
  6. Flesaker, B. Testing the Heath-Jarrow-Morton/ Ho-Lee Model of Interest Rate Contingent Claims Pricing. Journal of Financial and Quantitative Analysis, 1993.
  7. Ho, T.S.Y., and S.-B Lee. Term Structure Movements and Pricing Interest Rate Contingency Claims. Journal of Finance, 1986.
  8. 8. Hull, J. Options, Futures, and Other Derivatives. Prentice-Hall, 1993.
  9. Hull, J. Options, Futures, and Other Derivatives. Prentice-Hall, 1997.
  10. Hull, J., and A. White. One-factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities. Journal of Financial and Quantitative Analysis, 1993.
  11. Joy, C., Boyle, and Tan. Quasi-Monte Carlo Methods in Numerical Finance. Management Science, 1996.
  12. Lord, G., Paskov, Vanderhoof. Using Low-Discrepancy Points to Value Complex Financial Instruments. Contingencies, 1996.
  13. Morokoff, W., and R. Caflisch. Quasi-Random Sequences and Their Discrepancies. SIAM Journal of Scientific Computing, 1994.
  14. Niederreiter, H. Random Number Generation, and Quasi-Monte Carlo Methods. Regional Conference Series in Applied Mathematics, SIAM, 1992.
  15. Owen, A. Monte Carlo Variance of Scrambled Equidistribution Quadrature. SIAM Journal of Numerical Analysis, 1996.
  16. Press, W., S. Teukolski, W. Vetterling, B. Flannery. Numerical Recipes in C, The Art of Scientific Computing. Cambridge University Press, 1992.
  17. Spanier, J. private communication, 1997.
  18. Spanier, J., and Li. Quasi-Monte Carlo Methods for Integral Equations. Unpublished.
  19. Vasicek, O.A. An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 1977.