The Derivatives Sourcebook

210 Pages Posted: 15 Jun 2010

See all articles by Terence Lim

Terence Lim

Goldman Sachs Group, Inc. - Asset Management Group

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER); Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)

Robert C. Merton

Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER); Harvard Business School - Finance Unit

Myron S. Scholes

Stanford Graduate School of Business; Platinum Grove Asset Management L.P.; Oak Hill Platinum Partners, LLC

Date Written: June 14, 2010

Abstract

The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.

Suggested Citation

Lim, Terence and Lo, Andrew W. and Merton, Robert C. and Scholes, Myron S., The Derivatives Sourcebook (June 14, 2010). Foundations and Trends in Finance, Vol. 1, No. 5-6, 2005. Available at SSRN: https://ssrn.com/abstract=1625017

Terence Lim (Contact Author)

Goldman Sachs Group, Inc. - Asset Management Group ( email )

200 West Street
New York, NY 10004
United States

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

100 Main Street
E62-618
Cambridge, MA 02142
United States
617-253-0920 (Phone)
781 891-9783 (Fax)

HOME PAGE: http://web.mit.edu/alo/www

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)

Stata Center
Cambridge, MA 02142
United States

Robert C. Merton

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

77 Massachusetts Avenue
E62-634
Cambridge, MA 02139-4307
United States
617 715 4866 (Phone)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Harvard Business School - Finance Unit ( email )

Boston, MA 02163
United States
617-495-6678 (Phone)

Myron S. Scholes

Stanford Graduate School of Business ( email )

Knight Way
Stanford, CA 94305-5015
United States
+1 415-812-7569 (Phone)
(650) 324-1519 (Fax)

Platinum Grove Asset Management L.P. ( email )

Reckson Executive Park, Building 4
1100 King Street
Rye Brook, NY 10573
United States

Oak Hill Platinum Partners, LLC ( email )

1100 King Street, Building 4
Rye Brook, NY 10573
United States

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