Mar
11
A c++ class list for finance, specifically, a derivative calculator source code, is available, including:
american_option_approximation: uses the Black Scholes formulae for European options, to approximate the values of American options.
american_option_fudge: approximates the value of American Options as the value of the corresponding European option, plus the addition of a fudge factor
binomial_option: typical binomial tree to price option value
Bisection_Secant< functor, real > : This class is a child class of Bisection. The algorithm converges faster because it changes from the bisection to the secant algorithm /// on every other iteration
european_option_pair : Black Scholes option pricing formulae for puts and calls
...
Click for more and downloading http://acumenconsultinginc.net/TechNotes/public_options/html/annotated.html
american_option_approximation: uses the Black Scholes formulae for European options, to approximate the values of American options.
american_option_fudge: approximates the value of American Options as the value of the corresponding European option, plus the addition of a fudge factor
binomial_option: typical binomial tree to price option value
Bisection_Secant< functor, real > : This class is a child class of Bisection. The algorithm converges faster because it changes from the bisection to the secant algorithm /// on every other iteration
european_option_pair : Black Scholes option pricing formulae for puts and calls
...
Click for more and downloading http://acumenconsultinginc.net/TechNotes/public_options/html/annotated.html
Mar
10
You might have no idea who is Wolfram, but you might know Mathematica more or less, right, Wolfram is the computer scientist who has developed Mathematica. A recent post of his blog shows his another more ambitious project named Wolfram|Alpha will be available in May, 2009.
What is Wolfram|Alpha? its own logo says WolframAlpha is a computational knowledge engine, It doesn't simply return results that contain (match) the keywords you search, like Google, Yahoo, or MSN live does, and it isn't only a giant database of knowledge, like the Wikipedia; Instead, Wolfram Alpha indeed computes the answers to the question you type in the "search" form. Simply put, it is a (computation + search) engine.
Since the project will only be available for public after May, currently we can't test its efficiency and how magic it is. Can it return the value of "Black Scholes call option price with strike 10, asset price 10, time to maturity 1 year, interest rate 3%, and 25% annual volatility"? LOL, I am too demanding.
Anyway, should you be interested, please check it at: http://www.wolframalpha.com/
What is Wolfram|Alpha? its own logo says WolframAlpha is a computational knowledge engine, It doesn't simply return results that contain (match) the keywords you search, like Google, Yahoo, or MSN live does, and it isn't only a giant database of knowledge, like the Wikipedia; Instead, Wolfram Alpha indeed computes the answers to the question you type in the "search" form. Simply put, it is a (computation + search) engine.
Since the project will only be available for public after May, currently we can't test its efficiency and how magic it is. Can it return the value of "Black Scholes call option price with strike 10, asset price 10, time to maturity 1 year, interest rate 3%, and 25% annual volatility"? LOL, I am too demanding.
Anyway, should you be interested, please check it at: http://www.wolframalpha.com/
Mar
9
Quotation
The square root diffusion process is widely used for modeling interest rates
behaviour. It is an underlying process of the well-known Cox-Ingersoll-Ross
term structure model (1985). We investigate maximum likelihood estimation
of the square root process (CIR process) for interest rate time series. The
MATLAB implementation of the estimation routine is provided and tested on
the PRIBOR 3M time series.
behaviour. It is an underlying process of the well-known Cox-Ingersoll-Ross
term structure model (1985). We investigate maximum likelihood estimation
of the square root process (CIR process) for interest rate time series. The
MATLAB implementation of the estimation routine is provided and tested on
the PRIBOR 3M time series.
PDF file with Matlab codes included: http://dsp.vscht.cz/konference_matlab/MATLAB07/prispevky/kladivko_k/kladivko_k.pdf
For those intested: a small re-organization of the blog has been undertaken, we moved all codes collection posts under category Quant code, which makes browse easier and more convenient (hopefully). In addition, we added Quant newssection where selected news and resources, focusing on Asian Quant markets, will be published. Hope this change won't bring trouble to you, thanks.
Mar
8
A compound option is simply an option on an option. The exercise payoff of a compound option involves the value of another option. A compound option then has two expiration dates and two strike prices. Take the example of a European style call on a call. On the first expiration date T1, the holder has the right to buy a new call using the strike price X1. The new call has expiration date T2 and strike price X2.
The pricing of many other derivative instruments can be modeled as compound options. By visualizing the underlying stock as an option on the firm value, an option on stock of a levered firm that expires earlier than the maturity date of the debt issued by the
firm can be regarded as a compound option on the firm value (Geske, 1979). On the expiration of the option (the first expiration date of the compound option), the holder chooses to acquire the stock or otherwise. The decision depends on whether the stock as a call on the firm value is more valuable than the strike price.
The pricing of many other derivative instruments can be modeled as compound options. By visualizing the underlying stock as an option on the firm value, an option on stock of a levered firm that expires earlier than the maturity date of the debt issued by the
firm can be regarded as a compound option on the firm value (Geske, 1979). On the expiration of the option (the first expiration date of the compound option), the holder chooses to acquire the stock or otherwise. The decision depends on whether the stock as a call on the firm value is more valuable than the strike price.
Mar
8
A review of credit card bailout.
It appears as if day-to-day at present that we hear about a government bought at bailout of additional major company. Numerous smaller commercial enterprise, as well as individual people, are left enquiring where is their bailout from the dishonest loaning practices of the depository financial institution and credit card corporations.
In recent years, consumers have been promoted to Apply Credit Card for daily purchases, including groceries, fast food meals, and even the morning cup of coffee en route to office. All of these purchases, in addition the interest and fees appended, have only ramped up a huge pile of debt for the ordinary cardholder.
This is not much unlike the debt built up by companies, who now bear their hand out, calling for for help. And the government appears very amenable to offer that help, at the long-run expense of the American taxpayer.
There is nevertheless, a bailout of forms for personal credit card debt. This isn't a government platform, no more taxpayer bucks are ill-used, and you will not find out about it on the nightly news show. As a matter of fact, there is really no money needed in this bailout. Through debt elimination, a person can lawfully and entirely discharge 100% of their debts from credit cards and consumer loan*. Totally without afresh loan, subsidy, or government takeover.
It appears as if day-to-day at present that we hear about a government bought at bailout of additional major company. Numerous smaller commercial enterprise, as well as individual people, are left enquiring where is their bailout from the dishonest loaning practices of the depository financial institution and credit card corporations.
In recent years, consumers have been promoted to Apply Credit Card for daily purchases, including groceries, fast food meals, and even the morning cup of coffee en route to office. All of these purchases, in addition the interest and fees appended, have only ramped up a huge pile of debt for the ordinary cardholder.
This is not much unlike the debt built up by companies, who now bear their hand out, calling for for help. And the government appears very amenable to offer that help, at the long-run expense of the American taxpayer.
There is nevertheless, a bailout of forms for personal credit card debt. This isn't a government platform, no more taxpayer bucks are ill-used, and you will not find out about it on the nightly news show. As a matter of fact, there is really no money needed in this bailout. Through debt elimination, a person can lawfully and entirely discharge 100% of their debts from credit cards and consumer loan*. Totally without afresh loan, subsidy, or government takeover.
