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Feb
9
A tractable LIBOR model with default risk:a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework.
Optimising a correlated asset calculation on MATLAB:detailed example of applying vectorisation to speed up Matlab codes.
Reading About the Financial Crisis: A 21-Book Review: Professor Andrew W. Lo reviews a diverse set of 21 books on the crisis, 11 written by academics, and 10 written by journalists and one former Treasury Secretary. Are they helpful to understand the current crisis?
A Forward Monte Carlo Method for American Options Pricing: This study proposes a forward Monte Carlo method for the pricing of American options, and significantly improves in numerical efficiency and accuracy in contrast with the standard regression-based method of Longstaff and Schwartz(2001).
Optimising a correlated asset calculation on MATLAB:detailed example of applying vectorisation to speed up Matlab codes.
Reading About the Financial Crisis: A 21-Book Review: Professor Andrew W. Lo reviews a diverse set of 21 books on the crisis, 11 written by academics, and 10 written by journalists and one former Treasury Secretary. Are they helpful to understand the current crisis?
A Forward Monte Carlo Method for American Options Pricing: This study proposes a forward Monte Carlo method for the pricing of American options, and significantly improves in numerical efficiency and accuracy in contrast with the standard regression-based method of Longstaff and Schwartz(2001).
Aug
31
Libor Market Model is a term structure model applied to value and hedge exotic interest rate derivatives. The model is recognized and employed largely because of its consistency with the popular market model, Black's formula. This consistency makes the calibration process easy as the Black's market prices for vanilla interest rate Options can be instantly used as an input.
The purpose of this book -Libor Market Model: Theory and Implementation is to analyze the Libor Market Model in theory and implement it practically to the evaluation of normal caps, barriers, European swaptions and ratchets, etc. The dynamic of the Libor Market Model will be derived and the whole steps of its implementation applying Monte Carlo simulation will be introduced. Implementation is accomplished via several volatility and correlation formulation. Special attention should be given when it comes to calibrate the Libor Market Model and model the forward rate volatilities and correlations since they could impact prices of interest rate derivatives substantially.
The purpose of this book -Libor Market Model: Theory and Implementation is to analyze the Libor Market Model in theory and implement it practically to the evaluation of normal caps, barriers, European swaptions and ratchets, etc. The dynamic of the Libor Market Model will be derived and the whole steps of its implementation applying Monte Carlo simulation will be introduced. Implementation is accomplished via several volatility and correlation formulation. Special attention should be given when it comes to calibrate the Libor Market Model and model the forward rate volatilities and correlations since they could impact prices of interest rate derivatives substantially.
Jul
28
Table with Java sources
Closed expressions and Approximate Models for various Financial Option on Equity
Binary Tree method to Price Options on Equity
Monte Carlo pricer of Exotics
Monte Carlo Pricer of American Calls and Puts
Monte Carlo Pricer of European Barrier, Knock in and out Options
Monte Carlo Pricer European Spread Options
Monte Carlo Pricer of Interest Rate Derivatives (One factor)
Monte Carlo Pricer Ho Lee Model
Monte Carlo Pricer Hull White Model
Monte Carlo Pricer Black Derman Toy Model
Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model
Monte Carlo pricer of exotics with constant Jump-Diffussion
Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion
Monte Carlo Pricer European Spread Options with Jump-Diffusion
Closed expressions and Approximate Models for various Financial Option on Equity
Binary Tree method to Price Options on Equity
Monte Carlo pricer of Exotics
Monte Carlo Pricer of American Calls and Puts
Monte Carlo Pricer of European Barrier, Knock in and out Options
Monte Carlo Pricer European Spread Options
Monte Carlo Pricer of Interest Rate Derivatives (One factor)
Monte Carlo Pricer Ho Lee Model
Monte Carlo Pricer Hull White Model
Monte Carlo Pricer Black Derman Toy Model
Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model
Monte Carlo pricer of exotics with constant Jump-Diffussion
Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion
Monte Carlo Pricer European Spread Options with Jump-Diffusion
Jul
25
Fast Greeks by Simulation in Forward Libor Models by Prof. Glasserman, paper and code can be downloaded at:
http://www.gsb.columbia.edu/faculty/pglasserman/Other/grklibor.pdf
http://www.gsb.columbia.edu/faculty/pglasserman/Other/greeks_code.zip
http://www.gsb.columbia.edu/faculty/pglasserman/Other/grklibor.pdf
http://www.gsb.columbia.edu/faculty/pglasserman/Other/greeks_code.zip
