Dynamics and Controllability of Financial Derivatives: Towards Stabilization the Global Financial Systems Crisis

Show more

References

[1] Monetary and Economic Department, “OTC Derivatives Market Activity in the Second Half of 2008,” Bank for International Settlements, Basel, 2009.

[2] M. Shibli, “The Fundamental Principle of Conservation of Physical Money: Its Violation and the Global Financial System Collapse,” Journal of iBusiness, Vol. 3, No.1, 2011, pp. 76-87. doi:10.4236/ib.2011.31013

[3] K. Schwab, “The Future of the Global Financial System: A Near-Term Outlook and Long-Term Scenarios,” World Economic Forum’s World Scenarios Series, 2009.

[4] P. Krugman, “How Did Economists Get It So Wrong?” New York Times, 2009.

[5] E. P. Caldentey and M. Vernengo, “Modern Finance, Methodology and the Global Crisis,” Real-World Economics Review, No. 52, 2010, pp. 69-81.

[6] Wharton School of the University of Pennsylvania, “Why Economists Failed to Predict the Financial Crisis,” Knowledge@Wharton, 2009.
http://knowledge.wharton.upenn.edu/article.cfm?articleid=2234

[7] F. Black and M. Scholes, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economic, Vol. 81, No. 3, 1973, pp. 637-654. doi:10.1086/260062

[8] J. Hull, “Options, Futures and Other Derivatives,” 5th Edition, Prentice Hall, Upper Saddle River, 2003.

[9] ?. Ugur, “An Introduction to Computational Finance,” World Scientific Publishing, Singapor, 2008.

[10] H. Lee and D. Sheen, “Laplace Trans-formation Method for the Blck-Scholes Equation,” International Journal of Numerical Analysis and Modeling, Vol. 6, No. 4, 2009, pp. 642-658.

[11] C. C. W. Leentvaar and C. W. Oosterlee, “Multi-Asset Option Pricing Using a Parallel Fourier-Based Technique,” Journal of Computational and Applied Mathematics, Vol. 222, No. 1, 2009, pp.193-209.
doi:10.1016/j.cam.2007.10.015

[12] C. W. Oosterlee, “American Options with Discrete Dividends Solved by Highly Accurate Discretizations,” Ma- thematics in Industry, Vol. 8, Part 7, 2006, pp. 427-431.

[13] C. W. Oosterlee, C. C. W. Leentvaar and A. A. Vazquez, “Pricing Options with Dividends by High Order Finite Difference and Grid Stretching,” European Congress on Computational Methods in Applied Sciences and Engineering (ECCOMAS), 2004.

[14] C. C. W. Leentvaar, “Numerical Solution of the Black-Scholes Equation with a Small Number of Grid Points,” Master’s Thesis, Delft University of Technology, Delft, 2003.

[15] Y. Y. Ye, “A Path to the Arrow-Debreu Competitive Market Equilibrium,” Journal of Math Programming, Vol. 111, No. 1-2, 2006, pp. 315-348.
doi:10.1007/s10107-006-0065-5

[16] Robert Almgren, “Financial Derivatives and Partial Differential Equations,” American Mathematical Monthly, Vol. 109, 2001, pp. 1-12. doi:10.2307/2695763

[17] K. J. Arrow and J. Debreu, “Existence of an Equilibrium for a Competitive Economy,” Journal of Econometric Society, Vol. 22, No. 3, 1954, pp. 265-290.

[18] K. J. Arrow and M. McManus, “A Not on Dynamic Sta-bility,” North-Holland Publishing, Amsterdam, 1958.

[19] G. W. Recktenwald, “Finite-Difference Approximations to the Heat Equation,” Class Notes, 2004.

[20] De Luca, G. Oriolo, “Modeling and Control of Nonholonomic Mechanical Systems,” In: J. A. Kecskemethy, Ed., Kinematics and Dynamics of Multi-Body Systems, CISM Courses and Lectures No. 360, pp. 277-342, Springer- Verlag, New York, 1995.

[21] K. Ogata, “Modern Control Engineering,” Prentice Hall, Upper Saddle River, 1997.