مدل‌سازی شاخص کل بورس اوراق بهادار تهران با استفاده از معادله دیفرانسیل تصادفی هستون

Christofferssen, P. & Pelletier, P. (2004), Backtesting Value-at-Risk: Duration- Based Approach. Journal of Empirical Finance, 2.

Davis, P.J. and Rabinowitz, P. (1975), Methods of Numerical Integration, Academic Press, New.

Dragulescu, Adrian & Yakovenko (2002), Probability Distribution of Returns in the Heston Model with Stochastic Volatility. Quantitative Finance, Vol. 2.

Focardi, Sergio M., & Fabozzi, Frank J (2004), The Mathematics of Financial Modeling and Investment Management. John Wiley & Sons, Inc.

Grotke, Jr.James N (2010), An Introduction to the Mathematics of Value-at-Risk.

Haas, M (2001), New Methods in Backtesting, Financial Engineering, Research Center Caesar, Bonn.

Jorion, P. (2001), Value at Risk, The New Benchmark for Managing Financial Risk, 2nd Edition, McGraw-Hill, United States.

Kupiec, P. (1995), Techniques for Verifying the Accuracy of Risk Management Models, Journal of Derivatives 3.

Lopez, J (1998), Methods for Evaluating Value-at-Risk Estimates, Economic Policy Review, October.

Mikosch, Thomas (2004), Elementary Stochastic Calculus with Finance in View, World Scientific Publishing Co.

Oksendal, Bernt (2003), Stochastic Differential Equations an Introduction with Applications (6th Ed), Springer.

Olli (2009), Backtesting Value-at-Risk Models. Helsinki School of Economics.

Peymany, Moslem, Neisy, Abdolsadeh (2010), Stochastic Differential Equations in Finance, Proceedings of the 7th International Conference of Applied Financial Economics (AFE).

Platen, Eckhard, Bruti-Liberati, Nicola (2007), Numerical Solution of Stochastic Differential Equations with Jumps in Finance, Springer.

Psychoyios, Dimitris, & Skiadopoulos, George, & Alexakis, Panayotss (2003), A Review of Stochastic Volatility Processes: Properties and Implications (pp. 43-59), The Journal of Risk Finance.

Schoutens, Wim (2003), Levy Processes in Finance: Pricing Financial Derivatives, JohnWiley & Sons Ltd.

Shephard, Neil & Andersen, Torben (2008), Stochastic Volatility: Origins and Overview, Handbook of Financial Time Series, Springer Verlag.