Papers carefully selected about Financial Engineering.
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o             R.C. Merton (1971). Optimum consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3, 373-413.

o             Black, F., and Scholes, M. 1973. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81 (May-June) pp. 637-659.

o             Merton, R., 1973. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4 (Spring) pp. 141-183.

o             Harrison, M., and Kreps, D., 1979, Martingales and arbitrage in multiperiod securities markets. Journal of Economics Theory 20, 381-408.

o             Cox, J., S. Ross, and M. Rubinstein, 1979 (October), Option Pricing: A Simplified Approach, Journal of Financial Economics, Vol. 7, p. 44-50

o             Cox J. C., Ingersoll J. E., Ross S.A., A Theory of The Term Structure of Interest Rates, Econometrica, vol.53, no.2, 1985, 385-405.

o             Heston, S. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies, Vol. 6, No. 2.

o             Bakshi, G., C. Cao, and Z. Chen, 1997, Empirical Performance of Alternative Option Pricing Models, Journal of Finance 52, 2003-2049

o             Duffie, D., J. Pan, and K. Singleton (2000). Transform Analysis and Asset

o             Pricing for Affine Jump-Diffusions. Econometrica 68, 1343-1376.


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