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Book Chapters
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Contents
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Software
[browser]
[Java]
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Introduction
capital market,
computer technology, algorithms |
[notes on software & browsers]
[Navigator faster than IE?]
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Time Value of
Money
compounding, discounting,
annuity, amortization, bond, yield, accrued interest |
[time value of money]
[annuity]
[annuity (premium upon death)]
[mortgage]
[bond yield & accrued interest]
[dates]
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Bond Price Volatility
duration(s), convexity,
immunization |
[duration & convexity]
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Term Structure
yield curve, spot
rate, forward rate, term structure theories |
[bond]
[static spread]
[spot & forward rates from coupon bonds]
[default probability (zeros)]
[default probability (coupon bonds)]
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Option Pricing
Black-Scholes, binomial,
European, American |
[Black-Scholes formula]
[option (no div.)]
[option (discrete div. yld.)]
[option (continuous div. yld.)]
[option (diagonal method)]
[option (trinomial tree)]
[exercise boundary plotter]
[option pricing with extrapolation]
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Numerical Greeks (&
Some Latin)
delta, gamma, vega, theta |
[sensitivities (no div.)]
[sensitivities (continuous div. yld.)]
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Option Applications
& Exotic Options
Corporate securities,
barrier, Asian, lookback, Parisian,compound, exchange, etc. |
[Digital (binary/cash-or-nothing) option]
[single-barrier option]
[single-barrier option (trinomial tree)]
[double-barrier option]
[double-barrier option (trinomial tree)]
[reset option]
[lookback option]
[Parisian option]
[Parisian option (trinomial tree)]
[cumulative Parisian option (trinomial tree)]
[compound option]
[exchange option]
[Bermudan option]
[geometric Asian option]
[arithmetic Asian option]
[arithmetic Asian option (range bound)]
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More Derivatives
futures, forward,
futures option, swap |
[futures option]
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Continuous-Time
Mathematics
Brownian motion,
Ito process, estimation, partial differential equation |
[geometric Brownian motion]
[geometric Brownian motion (correlated)]
[maximum likelihood estimation]
[finite difference pricer & plotter]
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Hedging
delta hedge, delga-gamma hedge, insurance |
[delta hedge (BS)]
[delta hedge (binomial)]
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Monte Carlo &
Quasi-random
variance reduction,
Brownian bridge,
Halton-, Sobel-, Faure-sequences |
[option (crude)]
[option (antithetic)]
[option (control variates)]
[arithmetic Asian option (antithetic)]
[arithmetic Asian option (control variates)]
[lookback option]
[single-barrier option (antithetic)]
[single-barrier option (Brownian bridge)]
[single-barrier option (Brownian bridge, antithetic)]
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GARCH option pricing model
multinomial tree, Monte Carlo |
[option (trinomial model)]
[option (antithetic)]
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Interest Rate Models
lognormal, Vasicek, CIR, BDT,
Hull-White, HJM |
[bond (Vasicek)]
[bond (CIR)]
[calibration of Hull-White model]
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Interest Rate
Derivatives
futures, swap, option,
swaption, IAS |
[bond option (Vasicek)]
[bond option (CIR)]
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Mortgage-backed
Securities 1
prepayment, PSA,
CPR, SMM, pass-through, CMO, stripped MBS
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[PSA to SMM]
[CPR to SMM]
[pool cash flow (single SMM)]
[pool cash flow (vector)]
[pool P&I tabulator (vector)]
[pool P&I plotter (PSA)]
[pool P&I plotter (vector)]
[stripped MBS (vector)]
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Mortgage-backed
Securities 2
ARM, prepayment model,
seq. CMO, PO/IO,
PAC, option-adjusted spread,
cash flow, duration |
[seq. CMO (PSA)]
[seq. CMO (vector)]
[seq. CMO plotter (PSA)]
[seq. CMO plotter (vector)]
[seq. CMO pricer (vector)]
[seq. CMO WAL (PSA)]
[seq. CMO WAL (vector)]
[PAC]
[PAC WAL]
[PAC plotter]
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Corporate Bonds
convertible bond, callable & put
bond, option-adjusted spread |
[convertible bond]
[callable bond (CIR)]
[putable bond (CIR)]
[OAS of callable bond (CIR)]
[OAS of putable bond (CIR)]
[Convertible Bond Information System (CBIS)]
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Portfolio Theory
CAPM, APT, VaR |
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Corrigenda |
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