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Documents Monte Carlo Simulation Of Heston Model In Matlab(1)

1. Monte Carlo Simulation of Heston Modelin MATLAB GUI and its Application to Options BACHELOR THESIS IN MATHEMATICS /APPLIED MATHEMATICS DEPARTMENT OF MATHEMATICS AND PHYSICS…

Documents A practitioner's guide to pricing and hedging callable libor exotics in forward libor models

A PRACTITIONER’S GUIDE TO PRICING AND HEDGING CALLABLE LIBOR EXOTICS IN FORWARD LIBOR MODELS VLADIMIR V. PITERBARG Abstract. Callable Libor exotics is a class of single-currency…

Documents option delta with skew adjustment

DELTA HEDGING WITH THE SMILE Sami Vähämaa* Graduate School of Finance and Financial Accounting Department of Accounting and Finance, University of Vaasa Abstract This paper…

Documents The Derivation of Black Scholes Model (Ip)

DERIVATION OF THE BLACK SCHOLES MODEL AND ITS IMPLICATIONS UCSI UNIVERSITY BY JEEVAN KUMAR & JACKSON TAM KONG WAI 2013 B.SC. (HONS) ACTUARIAL SCIENCE 1 ACKNOWLEDGEMENTS…

Investor Relations Why will 2015 be the year of options?

1. Why Will 2015 be the Year of Options? 1 Options Trading 2. Why Will 2015 be the Year of Options? So far, only those attracted by the world of options have been trading…

Documents Putting the Power of Modern Applied Stochastics into DFA Peter Blum 1)2), Michel Dacorogna 2), Paul....

Slide 1 Putting the Power of Modern Applied Stochastics into DFA Peter Blum 1)2), Michel Dacorogna 2), Paul Embrechts 1) 1) ETH Zurich Department of Mathematics CH-8092 Zurich…

Documents A Practitioners Guide to Pricing Callable Libor Exotics

A PRACTITIONER’S GUIDE TO PRICING AND HEDGING CALLABLE LIBOR EXOTICS IN FORWARD LIBOR MODELS VLADIMIR V. PITERBARG Abstract. Callable Libor exotics is a class of single-currency…

Documents Copulas from Fokker-Planck equation Hi Jun Choe Dept of Math Yonsei University Seoul, Korea.

Slide 1 Copulas from Fokker-Planck equation Hi Jun Choe Dept of Math Yonsei University Seoul, Korea Slide 2 Financial Crisis in 2007 Wired Magazine 02.23.09 Recipe for Disaster:The…

Documents Copulas from Fokker-Planck equation

test Copulas from Fokker-Planck equation Hi Jun Choe Dept of Math Yonsei University Seoul, Korea 1 Financial Crisis in 2007 Wired Magazine 02.23.09 Recipe for Disaster:The…

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PRESENTATION THE ACADEMY OF ECONOMIC STUDIES BUCHAREST DOCTORAL SCHOOL OF FINANCE AND BANKING PRICING OPTIONS WITH JUMPS IN RETURNS AND VOLATILITIES STUDENT : TOADER CRISTINA…