Below is a chronological list of publicly available Mathematical Finance papers that are in some extent used by the QuantLib pricing algorithms.

### General

The Pricing of Options and Corporate Liabilities, Black Scholes (1973)

Efficient Analytic Approximation of American Option Values, Barone Adesi Whaley (1987)

Jumps and Stochastic Volatility, Bates (1996)

Convexity Conundrums, Kirikos, Novak, Risk Magazine (1997)

Volatility Swaps, Demeterfi, Derman, Kamal, Zou (1999)

Valuing American Options by Simulation, Longstaff Schwarz (2001)

Exotic FX Swap Analytics, Rigopoulos (2002)

Power Exchange Options, Blenman Clark (2005)

Bloomberg Eurodollar Screen Analysis (2006)

Pricing Swing Options and other Electricity Derivatives. Kluge, (2006)

Modelling spikes and pricing swing options in electricity markets, Hambly, Howison, Kluge (2007)

Simulation of Square Root Processes, Andersen Jaeckel Kahl (2010)

Valuation of Arithmetic Average of Fed Funds Rates, Takada (2011)

MARKOV FUNCTIONAL ONE FACTOR INTEREST RATE MODEL IMPLEMENTATION IN QUANTLIB (2013)

Risk Scaling Options, Blenman Clark (2014)