Aileen Wang Period 5 Computer Systems Lab 2010 TJSTAR June 3, 2010 An Analysis of Dynamic Applications of Black-Scholes Purpose Investigate Black-Scholes model Apply the…

Monte-Carlo Simulation Mathematical basis The discounted price is a martingale (MA4257 and MA5248). European vanilla call: linked to BS equation Generating stock prices (1)…

Aileen Wang Period 5 An Analysis of Dynamic Applications of Black-Scholes Purpose Investigate Black-Scholes model Apply the B-S model to an American market Dynamic trading…

The Black-Derman-Toy Modela � This model is extensively used by practitioners. � The BDT short rate process is the lognormal binomial interest rate process described…

A Multi-Phase, Flexible, and Accurate Lattice for Pricing Complex Derivatives with Multiple Market Variables A Multi-Phase, Flexible, and Accurate Lattice for Pricing Complex…

Asset/Liability Management Models in Insurance and Benchmark Decomposition Alexei A. Gaivoronski and Sergiy Krylov Norwegian University of Science and Technology Contents…