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Jul 6
Another FX online option calculator by MathFinance covers Vanilla option, digital option, touch options (one touch, no touch, double one touch, double no touch), barrier option (single barrer, double barrier) and Black-Scholes Implied Volatility Calculator.

For detail about options description and calculator please visit http://www.mathfinance.com/tools/calculator/index.php
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Jun 1
Bramaan.com is an online facility for the valuation and risk management of interest rate derivatives.

Bramaan.com provides everything needed to quickly determine the net present value, the accrued interest as well as the value of a basis point for virtually any interest rate swap contract. This includes, but is not limited to, the development of custom software platforms and the implementation of processes and procedures for the daily administration, risk-management, quantitative analysis, accounting and trading of the previously mentioned financial instruments.

Further details can be found here:
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Apr 30
MG Soft Exotic Options Calculator is a freeware software to calculate the option value and greeks of vanilla and exotic options, mainly using Monte Carlo simulation.

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The software supports the following types of options at the moment.

Vanilla Options (using standard Black-Scholes formulae).
Binary (Cash-or-nothing) Options (using standard analytical formulae).
Asian Options (using Monte Carlo simulation).
Barrier Options (using Monte Carlo simulation).
Lookback Options (using Monte Carlo simulation).
Oct 29
The Black Litterman model was first published by Fischer Black and Robert Litterman of Goldman Sachs in an internal Goldman Sachs Fixed Income document in 1990. This paper was then published in the Journal of Fixed Income in 1991. A longer and richer paper was published in 1992 in the Financial Analysts Journal (FAJ). The latter article was then republished by FAJ in the mid 1990's. Copies of the FAJ article are widely available on the Internet. It provides the rationale for the methodology, and some information on the derivation, but does not show all the formulas or a full derivation. It also includes a rather complex worked example, which is difficult to reproduce due to the number of assets and use of currency hedging.

The Black Litterman model makes two significant contributions to the problem of asset allocation. First, it provides an intuitive prior, the CAPM equilibrium market portfolio, as a starting point for estimation of asset returns. Previous similar work started either with the uninformative uniform prior distribution or with the global minimum variance portfolio. The latter method, described by Frost and Savarino (1986) and Jorion (1986), took a shrinkage approach to improve the final asset allocation. Neither of these methods has an intuitive connection back to the market,. The idea that one could use 'reverse optimization' to generate a stable distribution of returns from the CAPM market portfolio as a starting point is a significant improvement to the process of return estimation.

Second, the BlackLitterman model provides a clear way to specify investors views and to blend the investors views with prior information. The investor's views are allowed to be partial or complete, and the views can span arbitrary and overlapping sets of assets. The model estimates expected excessreturns and covariances which can be used as input to an optimizer. Prior to their paper, nothing similar had been published. The mixing process had been studied, but nobody had applied it to the problem of estimating returns. No research linked the process of specifying views to the blending of the prior and the investors views. The BlackLitterman model provides a quantitative framework for specifying the investor's views, and a clear way to combine those investor's views with an intuitive prior to arrive at a new combined distribution.

For a collection of reference paper and an online application please see http://www.blacklitterman.org/blapplet.html
Oct 27
Online Fourier Space Time-stepping (FST) option calculator where options class includes European, American, Barrier, Shout and Spread option; underlying stock process follows Black Scholes Merton, Merton Jump Diffusion, Kou Jump Diffusion, Variance Gamma, Normal Inverse Gaussian and CGMY.

For more information on the Fourier Space Time-stepping (FST) method, stock price models and options refer to the papers below at the site


    * Option Pricing with Regime Switching Levy Processes Using Fourier Space Time-stepping
    * Fourier Space Time-stepping for Option Pricing with Levy Models.

Related Matlab codes can also be downloaded at http://www.cs.toronto.edu/~vsurkov/fst_matlab.html
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