| Financial Derivatives Toolbox | |
Black-Derman-Toy (BDT) Modeling
A description of the Black-Derman-Toy interest rate model can be found in:
Black, Fischer, Emanuel Derman, and William Toy, "A One Factor Model of Interest Rates and its Application to Treasury Bond Options," Financial Analysts Journal, January - February 1990.
Heath-Jarrow-Morton (HJM) Modeling
An introduction to Heath-Jarrow-Morton modeling, used extensively in the Financial Derivatives Toolbox, can be found in:
Jarrow, Robert A., Modelling Fixed Income Securities and Interest Rate Options, McGraw-Hill, 1996, ISBN 0-07-912253-1.
Financial Derivatives
Information on the creation of financial derivatives and their role in the marketplace can be found in numerous sources. Among those consulted in the development of the Financial Derivatives toolbox are:
Chance, Don. M., An Introduction to Derivatives, The Dryden Press, 1998, ISBN 0-030-024483-8
Fabozzi, Frank J., Treasury Securities and Derivatives, Frank J. Fabozzi Associates, 1998, ISBN 1-883249-23-6
Hull, John C., Options, Futures, and Other Derivatives, Prentice-Hall, 1997, ISBN 0-13-186479-3
Wilmott, Paul, Derivatives: The Theory and Practice of Financial Engineering, John Wiley and Sons, 1998, ISBN 0-471-983-89-6
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