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% Bibliography items
%
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% Classical Russian Books
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@BOOK{Sobol1973,
  AUTHOR         = {I.~Sobol},
  TITLE          = {Numerical Monte-Carlo Methods},
  PUBLISHER      = {Nauka, Moscow},
  YEAR           = 1973,
}

@BOOK{SErmakov2009,
  AUTHOR	 			= {S.~Ermakov},
  TITLE          	= {Monte-Carlo Methods in Calculus},
  PUBLISHER      	= {Binom, Moscow},
  YEAR           	= 2009,
}

@BOOK{Yanenko1971,
  AUTHOR         = {N.~N.~Yanenko},
  TITLE          = {The Method of Fractional Steps},
  PUBLISHER 	  = {Springer-Verlag, Berlin},
  YEAR           = 1971,
}

@BOOK{SErmakov1975,
  AUTHOR	 			= {S.~Ermakov},
  TITLE          	= {Die Monte-Carlo Methode und verwandte Fragen},
  PUBLISHER      	= {Verlag Wissenschaft},
  YEAR           	= 1975,
}

@BOOK{SErmakovNekrutkinSipin,
  AUTHOR	 = {S.~Ermakov V.~Nekrutkin A.~Sipin},
  Title          = {Random Processes for Classical Equations of Mathematical Physics},
  Publisher      = {Springer-Verlag Gmbh},
  year           = 1993,
}

@BOOK{SErmakovGMikhailov1982,
  AUTHOR	 		= {S.~Ermakov and G.~Mikhailov},
  TITLE   		= {Statistical Simulation.},
  PUBLISHER  	= {Nauka, Moscow},
  YEAR         = 1982,
}


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% Classical Financial Articles
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@ARTICLE{BScholes1973,
  AUTHOR         	= {F.~Black and M.~Scholes},
  TITLE          	= {The Pricing of Options and Corporate Liabilities},
  JOURNAL 	 		= {Journal of Political Economy 81 (3): 637-654},
  YEAR           	= 1973,
}

@ARTICLE{BrennanSchwartz1973,
  AUTHOR         = {M.~Brennan and E.~Schwartz},
  TITLE          = {Finite Difference Methods an Jump processes arising in the pricing of contingent claims},
  JOURNAL 	 		=	{Journal of Political Economy 81 (3): 637-654},
  YEAR           	= 1973,
}

@ARTICLE{Heston1997,
  Author         = {S.~Heston},
  Title          = {A Closed-Form Solution for Options with Stochastic Volatility with Application to Bond and Currency Options},
  Journal 	 = {Review of Financial Studies, Vol. 6, No. 2},
  year           = 1997,
}

@ARTICLE{LAndersen2002,
  Author         = {L.~Andersen},
  Title          = {Simulation of the Heston Stochastic Volatility Model},
  Address        = {\url{http://PSTricks.de/pdf/pdfoutput.phtml}},
  Journal 	 = {http://ssrn.com/abstract=946405},
  year           = 2002,
}


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% Financial Articles
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@TECHREPORT{GilesCarter2006,
	AUTHOR	 = {Michael Giles and Rebecca Carter},
   TITLE 	 = {Convergence analysis of Crank-Nicolson and Rannacher time-marching},
	JOURNAL 	= {Journal of Computational Finance},
	VOLUME 	= {9},
	PAGES		= {89-112},
	YEAR 		= {2006},
}


@ARTICLE{PooleyVetzalForsyth2003,
  AUTHOR        	= {David M. Pooley and Kenneth R.Vetzal and Peter A. Forsyth},
  TITLE          	= {Convergence remedies for non-smooth payoffs in option pricing.},
  JOURNAL 	 		= 	{ The Journal of Computational Finance},
  NUMBER 			= {4},
  VOLUME				= {6},
  YEAR           	= 2003,
}

@MASTERSTHESIS{Sheppard2007,
 AUTHOR={Roleof Sheppard},
 TITLE={Pricing Equity Derivatives under Stochastic Volatility: A Partial Differential Equation Approach},
 SCHOOL={University of the Witwatersrand, Johannesburg},
 YEAR=2007
}

@ARTICLE{NielsenSkavhaugTveito,
  AUTHOR        	= {Bj\orn Fredrik Nielsen and Ola Skavhaug and Aslak Tveito},
  TITLE          	= {Penalty and front-fixing methods for the numerical solution of American option problems},
  JOURNAL 	 		= 	{ The Journal of Computational Finance},
  NUMBER 			= {4},
  VOLUME				= {5},
  YEAR           	= 2002,
}


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% Finance Books
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@BOOK{JHull2003,
  AUTHOR         = {J.~Hull},
  TITLE          = {Option, Futures, and other Derivatives},
  PUBLISHER      = {Prentice Hall},
  YEAR           = 2003,
  EDITION		  = 5,
}


@BOOK{HullWhite1996,
  AUTHOR         = {J.~Hull and A.~White},
  TITLE          = {Hull-White on Derivatives, A Compilation of Articles by John Hull and Alan White},
  PUBLISHER      = {Risk Publications},
  YEAR           = 1996,
}

@BOOK{Joshi1995,
  AUTHOR         = {M.~Joshi},
  TITLE          = {The Concepts and Practice of Mathematical Finance},
  PUBLISHER      = {Cambridge University Press},
  YEAR           = 1995,
}

@BOOK{Glasserman2004,
  AUTHOR         = {P.~Glasserman},
  TITLE          = {Monte-Carlo Method in Mathematical Finance},
  PUBLISHER      = {Springer Verlag},
  YEAR           = 2004,
}

@BOOK{Duffy2006,
  AUTHOR         = {D.~Duffy},
  TITLE          = {Finite Difference Methods in Financial Engineering},
  PUBLISHER      = {John Wiley and Sons, Ltd},
  YEAR           = 2006,
}


@BOOK{Jackel2002,
  AUTHOR         = {Peter Jackel},
  TITLE          = {Monte Carlo Methods in Finance},
  YEAR			  = {2002},
  PUBLISHER 	  = {John Wiley and Sons}
}

@BOOK{HakalaWystup2001,
  AUTHOR         = {Jurgen Hakala and Uwe Wystup},
  TITLE          = {Foreign Exchange Risk.},
  YEAR				= {2001},
  PUBLISHER		  = {Risk Publications, London},
}


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% Math Articles
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@ARTICLE{SErmakovWagner2002,
  AUTHOR	 		= {S.~Ermakov and W.~Wagner},
  TITLE     	= {Monte Carlo difference schemes for the wave equation},
  INSTITUTION 	= {Weierstrass Institute for Applied Analysis and Stochastics},
  ADDRESS 		= {Mohrenstrasse 39, D-10117, Berlin, Germany},
  JOURNAL 		= {Monte Carlo Methods appl.},
  YEAR         = 2002,
}


@ARTICLE{KErmakov1997,
  Author         = {K.~Ermakov},
  Title          = {Solving the Navier-Stokes equation using the Monte Carlo Method},
  journal        = {Polyakhov's readings, conference materials},
  year           = 1997,
}


@article{ChentsovFrolov1962,
  Author         = {A. Frolov and N. Chentsov},
  Title          = {On the estimation of a parameter-dependent certain integral using the Monte-Carlo method.},
  Journal 	 = 	{Journal of Numerical Methods and Mathematical Physics},
  PAGES		= {714-717},
  number 	= {2},
  year           = 1962,
}


%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Math. Books
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@BOOK{Ames1977,
  AUTHOR         = {W.F.~Ames},
  TITLE          = {Numerical Methods for Partial Differential Equations},
  PUBLISHER      = {Academic Press},
  YEAR           = 1977,
}

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Misc. Books in Physics, etc
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@BOOK{Temam2001,
  AUTHOR	 			= {R. Temam},
  TITLE          	= {Navier-Stokes Equations: Theory and Numerical Analysis},
  PUBLISHER      	= {AMS Bookstore},
  YEAR           	= 2001,
}

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
% Mersenne Twister
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@Article{MatsumotoNishimura1998,
  AUTHOR         = {M.~Matsumoto and T.~Nishimura},
  TITLE          = {Mersenne Twister: a 623-dimensionally equidistributed uniform pseudo-random number generator.},
  JOURNAL 	 = {ACM Trans. on Modeling and Computer Simulation 8, 3-30},
  YEAR           = 1998,
}

@Article{MatsumotoNishimura1998DC,
  AUTHOR         	= {Makoto Matsumoto and Takuji Nishimura},
  TITLE          	= {Dynamic Creation of Pseudorandom Number Generators},
  JOURNAL 	 		= {Monte Carlo and Quasi-Monte Carlo Methods},
  YEAR           	= 1998,
}