Allington, N.F., McCombie, J.S. & Pike, M., 2012. Lessons not learned: from the collapse of Long-Term Capital Management to the subprime crisis. Journal of Post Keynesian Economics, 34(4), pp.555-582. Available at: https://doi.org/10.2753/pke0160-3477340401
Anson, M.J., 1999. Credit derivatives (Vol. 56). John Wiley & Sons, pp.98-104. ISBN: 9781883249618.
Blundell, S. & Blundell, K. M., 2010. Concepts in thermal physics, 2nd ed. Oxford: Oxford University Press. ISBN: 9780199562107.
Brown, R., 1773–1858. Robert Brown. The Linnean Society. Available at: https://www.linnean.org/the-society/history-of-science/robert-brown [Accessed 21 Feb. 2025].
Derman, E. & Miller, M.B., 2016. The volatility smile. John Wiley & Sons. ISBN: 9781118959169.
Dungey, M., Fry, R., González-Hermosillo, B. & Martin, V.L., 2002. International contagion effects from the Russian crisis and the LTCM near-collapse. pp. 6. Available at: https://doi.org/10.2139/ssrn.879584.
Einstein, A. & Stachel, J.J., 1987. The collected papers of Albert Einstein. Princeton, N.J: Princeton University Press.
Hull, J.C., 2017. Options, futures, and other derivatives, 9th ed. Harlow: Pearson. ISBN: 978-0134446001.
Hull, J.C. & Basu, S., 2016. Options, futures, and other derivatives. Pearson Education India. pp.625. Available at: https://doi.org/10.23874/amber/2016/v7/i1/121351.
Heston, S., 1993. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6(2), pp.327-343. Available at: https://doi.org/10.1093/rfs/6.2.327.
Jorion, P., 2000. Risk management lessons from long‐term capital management. European Financial Management, 6(3), pp.277-300. Available at: https://doi.org/10.1111/1468-036x.00125.
Lin, J., Liao, G., Chen, M. & Yin, H., 2021. Two-phase degradation modeling and remaining useful life prediction using nonlinear Wiener process. Computers & Industrial Engineering, 160, p.107533. Available at: https://doi.org/10.1016/j.cie.2021.107533.
Lowenstein, R., 2001. When genius failed: The rise and fall of Long-Term Capital Management. Random House trade paperbacks. pp. 191. ISBN 978-0-375-50317-7.
Merton, R.C., 1976. Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), pp.125-144. Available at: https://doi.org/10.1016/0304-405x(76)90022-2.
Minier, J-P., 2016. Stochastic Process Overview. Science Direct. Available at: https://www.sciencedirect.com/topics/physics-and-astronomy/stochastic-process.
Menga, M., 2021. Finance through the lens of physics and maths. ICTP. Available at: https://www.ictp.it/news/finance-through-lens-physics-and-maths.
Noguer I Alonso, M., 2024. Economy and Financial Markets As Complex Systems: Modelling the Economy: A New Framework. https://doi.org/10.2139/ssrn.4684075
Perold, A.F., 1999. Long-term capital management, LP (A). Harvard Business School Pub. Available at: https://www.hbsp.harvard.edu/product/200009-PDF-ENG [Accessed 14 Feb. 2025].
Quail, R., 1995. Understanding options. John Wiley & Sons, pp.47-48. ISBN: 9780071476362.
Ross, S.M., 2019. Introduction to probability models, 12th ed. London: Academic Press. ISBN: 9780443187612.
Scholes, M., 1997. Myron Scholes, Nobel Biographical, The Nobel Prize. Available at: https://www.nobelprize.org/prizes/economic-sciences/1997/scholes/biographical/.
Shiller, R.J., 2024. Online Data – S&P 500 Historical Data, Earnings, and Dividends. Yale University. ISBN: 9780262691512.
Slivinski, S., 2009. Too Interconnected to Fail? The rescue of Long-Term Capital Management. Federal Reserve Bank of Richmond, Region Focus, 34, pp.34-36. Available at: https://www.richmondfed.org/publications/research/econ_focus/2009/summer/~/media/5634258DAAC944CE8C6E6CAE19FE93C0.ashx [Accessed 21 Feb. 2025].
Sokolov, I.M. & Klafter, J., 2005. From diffusion to anomalous diffusion: A century after Einstein’s Brownian motion. Chaos (Woodbury, N.Y.). Available at: https://doi.org/10.1063/1.1860472.
Vogel, G., 1999. Recent studies on diffusion in intermetallics by Mössbauer spectroscopy and nuclear resonant scattering of synchrotron radiation. High Temperature Materials and Processes, 18(5-6), pp.293-304. Available at: https://doi.org/10.1515/htmp.1999.18.5-6.293.
Zhou, Y., 2024. Calibration of Short-Term Interest Rates through a CIR Model. arXiv preprint. Available at: https://arxiv.org/pdf/1806.03683 [Accessed 21 Feb. 2025].
Further Reading
Rashkovskiy, S.A., Thermodynamics of markets, Physica A: Statistical Mechanics and its Applications, Vol 567, https://www.sciencedirect.com/science/article/pii/S0378437120309973, (2021)