Options, Commodity, Forex, Fixed income

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Option Pricing

Advanced Numerical Methods for Financial Problems - Pricing of Derivatives http://www.math.bas.bg/~kounchev/SeminarFin/KrasimirMilanov.pdf
Currency Option Valuation http://www.willamette.edu/~fthompso/IFM/BS.ppt
Applications of the Linear Functional Form: Pricing Exotics http://www.stanford.edu/~japrimbs/08-Exotics3(f).ppt
Binomial Option Pricing, the Black-Scholes Option Pricing Formula http://finance.wharton.upenn.edu/~benninga/mma/MiER64.pdf
How American Options are Exercised http://www.business.uiuc.edu/poteshma/research/duffieLiuPoteshman.pdf
Comp Meth for Option pricing http://www.ann.jussieu.fr/~pironneau/publi/publications/BSbookplan.pdf
Numerical Methods for American Options, http://www.math.umn.edu/~bemis/finance/Amer_PIDE.pdf
Gunter Meyer http://www.math.gatech.edu/~meyer/
Numerical Methods in Finance http://www.math.gatech.edu/~meyer/MA6635/
Pricing American Options by Adaptive Finite Element Method http://www.math.umd.edu/research/spotlight/options.pdf
Introduction to Statistics of Financial Markets http://www.quantlet.de/mdstat/scripts/sfe/html/
Monte Carlo Methods for American Options http://www.informs-cs.org/wsc04papers/219.pdf
How American Options are Exercised http://www.business.uiuc.edu/poteshma/research/duffieLiuPoteshman.pdf
Pricing European and American Options with Extrapolation http://www.csie.ntu.edu.tw/~lyuu/theses/thesis_r90723064.pdf
Ben Hambly's Home Page http://www2.maths.ox.ac.uk/~hambly/
N. Meinshausen and B.M. Hambly, Monte Carlo methods for the valuation of multiple exercise options, Math. Finance, 14, 557-583, 2004
Knock-in American options http://www.math.nus.edu.sg/~matdm/jfm.pdf
Approximation of functions and American options. (pdf).

Financial numerical methods - Links

Path-dependent

Futures, Swaps and Options. by Fernando Alvarez (ppt).

Fixed income

A Lattice Implementation of the Black-Karasinsky Rate Process http://www.mathematik.uni-ulm.de/finmath/courses/ss06/finEng/black-karasinski.pdf
International Fixed Income and Derivatives Certificate (pdf)
Binomial option pricing: http://en.wikipedia.org/wiki/Binomial_options_pricing_model
David Backus and Stanley Zin, Advanced Fixed Income Analytics for Financial Professionals (B40.3176.33, Spring 1999)
Interest rate derivatives http://web.am.qub.ac.uk/users/m.s.kim/chap8.pdf
Fixed Income Pricing, Qiang Dai and Kenneth Singleton. or http://www.stanford.edu/~kenneths/handbook.pdf
Fixed Income Analysis: Securities, Pricing, and Risk Management, Claus Munk. http://www.sam.sdu.dk/~cmu/noter/FIAjan05.pdf
Bond market, From Wikipedia, the free encyclopedia http://en.wikipedia.org/wiki/Bond_market
Unspanned stochastic volatility and fixed income derivatives pricing, Jaime Casassus, Pierre Collin-Dufresne, Bob Goldstein.
Pricing and Hedging Volatility Risk in Fixed Income Markets, Scott Joslin. or http://faculty.chicagogsb.edu/workshops/finance/archive/pdf/joslin-volatility.pdf

Forex

Foreign exchange market http://en.wikipedia.org/wiki/Foreign_exchange_market
Forex http://en.wikipedia.org/wiki/Forex_swap

Commodity options

The pricing of commodity contracts, Fischer Black, The Journal of Financial Economics 3 (1976) 167–179. http://math.ucalgary.ca/~ware/jc/black76_slides.pdf
Commodity options. Price Insurance for the Farmer, http://www.ces.uga.edu/Agriculture/agecon/pubs/marketpubs/options.htm
Option Pricing on Renewable Commodity Markets, Sergio H. Lence and Dermot J. Hayes. http://www.card.iastate.edu/publications/DBS/PDFFiles/02wp309.pdf
Options 101 - Learn about Futures Options Trading & Commodity Options Trading http://www.cleartrade.com/options_101.html
Commodity Options as Price Insurance for Cattlemen, http://cals.arizona.edu/arec/wemc/cattlemarket/CommOpts.pdf
Pricing Commodity Bonds Using Binomial Option Pricing, Raghuram Rajan. or here.
The ABCs of Option Volatility by John Summa. http://www.investopedia.com/articles/optioninvestor/02/031102.asp.
Computational Finance, Lecture 2: Pricing Futures and Futures Options. A Simple Futures Option Pricing Program, Philip H. Dybvig. or Postscript
Financial Instruments to Hedge Commodity Price Risk for Developing Countries, Yinqiu Lu and Salih Neftci. (pdf)
Recovering Probabilistic Information From Option Markets: Tests of Distributional Assumptions.

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