10.3 Recommended Literature

Exotic options such as bond options are discussed in detail in Hull (2000). The numerical methods necessary for valuing complex path-dependent derivatives are briefly reviewed in Wilmott et al. (1995) and are discussed in more detail in Dewynne et al. (1993). The classical stochastic interest rate models are introduced in Vasicek (1977), Cox et al. (1985) and Hull and White (1990). A standard work taking a modern point of view of the interest rate in financial mathematics is Heath and Morton (1992).