[1] Dupire, Bruno, 1994. ”Pricing with a smile”. Risk Magazine, 7, 18-20.

[2] Elder, John, 2002. ”Hedging for Financial Derivatives”. University of Oxford, Ph.D. Thesis.

[3] Heston, Steven L., 1993. ”A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options”. The review of Financial Studies, Volume 6, Issue 2, 327-343.

[4] Wilmott, Paul, Howison, Sam and Dewynne, Jeff, 1995. ”The Mathematics of Financial Derivatives”. Cambridge University Press.

[5] Kloeden, Peter E. and Platen, Eckhard, 1999. ”Numerical Solution of Stochastic Differential Equations”. Springer.

[6] Schmitz, Klaus, 2004. ”Comparison and problems using Local, Implied and Stochastic Volatility obtained from Market Data to price Exotic Options”. http://www.maths.ox.ac.uk/˜schmitz/project1.htm

[7] Schmitz, Klaus, 2004. ”Combination of Euler, Milstein, Heston, Black-Scholes-Merton and Monte Carlo methods to price Exotic Options”. http://www.maths.ox.ac.uk/˜schmitz/project2.htm

[8] Shaw, William, 2000. ”Instability of Implied Volatility, Fictitious Skews and Smiles and Hazards of Exotics”. AIP Conference Proceedings, vol. 553, 309- 314.

[9] Shaw, William, 1999. ”Modelling Financial Derivatives with Mathematica. Cambridge University Press.

Prof. Klaus Schmitz

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