Aydoğan DURMUŞ Ph. D.

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Present and Future Of Financial Risk Management

Carol Alexander

What are the most important papers in the field of quantitative finance?
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Black, F & Scholes, M 1973 The pricing of options and corporate liabilities.

Journal of Political Economy 81 637-59

Boyle, P 1977 Options: a Monte Carlo approach.

Journal of Financial Economics 4 323-338

Brace, A, Gatarek, D & Musiela, M 1997 The market model of interest rate dynamics.

Mathematical Finance 7 127-154

Cox, JC, Ross, S & Rubinstein M 1979 Option pricing: a simplified approach.

Journal of Financial Economics 7 229-263

Derman, E & Kani, I 1994 Riding on a smile. Risk magazine 7 (2) 32-39 (February)

Dupire, B 1994 Pricing with a smile. Risk magazine 7 (1) 18-20 (January)

(And the one by Rubinstein in Risk mag from around the same time as the two above.

I don't have the exact reference.)

Dumas, B, Fleming, J & Whaley, RE 1998 Implied volatility functions: empirical tests.

 Journal of Finance ? (To balance Dupire and Derman )

Heath, D, Jarrow, R & Morton, A 1992 Bond pricing and the term structure

of interest rates: a new methodology. Econometrica 60 77-105

Vasicek, OA 1977 An equilibrium characterization of the term structure.

Journal of Financial Economics 5 177-188

The above are all very 'classical.'

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