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Elements of Statistical Learning by Hastie, Tibshirani and Friedman is one of the most-cited books for your purpose. Although it does not have any direct applications to Finance, this is definitely a good book to have in your professional library and can be used as a reference for most topics. If you want to use a book with more financial applications, I ...

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I think a good book to start in your case is: Attilio Meucci: Risk and Asset Allocation I once had a seminar held by Attilio that was based on the book and it blew my mind. The book is very intuitive yet rigorous.

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I would highly recommend this books: Mathematics and Statistics for Financial Risk Management: Book 1 The other one, is Chapter three from, Practical Methods of Financial Engineering and Risk Management: Tools for Modern Financial Professionals: Book 2 Hope it helps.

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Since there is a closed form in the BS case for continuous barrier options, you probably won't find a huge amount of work on this since it's not needed. In the discrete case, I did a paper with Tang: http://ssrn.com/abstract=1441142 Pricing and Deltas of Discretely-Monitored Barrier Options Using Stratified Sampling on the Hitting-Times to the Barrier

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There are a couple of nice papers about the dot-com effect by Michael Cooper: full list, paper1, paper2

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I like Financial Calculus: An Introduction to Derivative Pricing by Baxter and Rennie. It's less technical than Shreve or Bjork, whether that's an advantage or disadvantage is up to you.

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Have a look at the following titles: http://www.worldscientific.com/worldscibooks/10.1142/3856 http://books.google.de/books?id=z42E_VIaQbIC&lpg=PR2&pg=PR2#v=onepage&q&f=false http://www.markjoshi.com/concepts/ http://www.worldscientific.com/worldscibooks/10.1142/8495

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I suggest you Arbitrage Theory in Continuous Time by Tomas Bjork. It is a standard reference introducing Stochastic Calculus, then Black-Scholes both from a hedging portfolio perspective and a martingale point of view. It has also some nice chapters on American Options, exotic options and Fixed income derivatives.

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http://www.iaqf.org/bookstore Here you can find the list of books recommended by the professionals in quantitative finance. You can search the recommended books for each topic.

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you can view a bond as a floating rate note plus a swap from floating to fixed. Floating rate notes are always at par after coupon payments (ignoring credit risk...) so the pricing of a bond is the same as that of a swap. So the pricing of a callable bond is the same as that of a cancellable swap. A cancellable swap can be viewed as a swap minus the ...

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There was a pretty good article covering this in Wilmott Magazine a while back. It covered the somewhat more general case of Callable Constant Maturity Swap Steepeners. You can ignore all the machinery around the CMS coupons if you are just treating standard callable bonds. That is to say, in Equation 8, you just need to set the multiplier $m$ to zero. ...

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That's queer that you found nothing. Perhaps this project will be helpful. Let me know if you have questions about it.

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