Binomial trees

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  • Designed for the widest audience, without sacrificing a high level of understanding, graduating from limited math to arithmetic and algebra and some calculus Covers forwards and futures, options, binomial trees, Black-Scholes, volatility and dynamic strategies with detailed definitions and examples

    pdf497p greengrass304 14-09-2012 27 10   Download

  • When asked why they tackled Mount Everest, climbers typically reply “Because it was there”. Our motivation for writing Advanced Modelling in Finance is for exactly the opposite reason. There were then, and still are now, almost no books that give due prominence to and explanation of the use of VBA functions within Excel. There is an almost similar lack of books that capture the true vibrant spirit of numerical methods in finance.

    pdf278p thuymonguyen88 07-05-2013 82 32   Download

  • The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market model, the acceleration of binomial trees, the Fourier transform in option pricing and much more. Throughout Mark Joshi brings his unique blend of theory, lucidity, practicality and experience to bear on issues relevant to the working quantitative analyst....

    pdf0p baobinh1311 25-09-2012 47 18   Download

  • We build a three-factor term-structure of interest rates model and use it to price corporate bonds. The first two factors allow the risk-free term structure to shift and tilt. The third factor generates a stochastic credit-risk premium. To implement the model, we apply the Peterson and Stapleton (2002) diffusion approximation methodology. The method approximates a correlated and lagged-dependent lognormal diffusion processes. We then price options on credit-sensitive bonds.

    pdf27p taisaocothedung 12-01-2013 19 3   Download

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