Quantitative Finance COURSE NUMBER: 22:839:510 COURSE TITLE: Numerical Analysis
|
|
- Edward George
- 6 years ago
- Views:
Transcription
1 Quantitative Finance COURSE NUMBER: 22:839:510 COURSE TITLE: Numerical Analysis COURSE DESCRIPTION Modern financial quantitative analysts play an essential role in an increasingly digital economy. This course is intended to help student to acquire numerical analytical skills key to their success and functional in modern economy. The students are to become familiar with such numerical methods as decision methods, binomial and trinomial trees, Monte Carlo simulation, Finite difference, and curve construction. They are to learn to apply the results to forecasting, including asset pricing, hedging, portfolio and risk assessment, investment strategies, and other financial problems, covering asset classes including equity, fixed income and derivatives. Students are situated with technology innovation history as well as the enterprise technology infrastructure environment, so that they can successful lead production from conception to implementation. Students must have a strong mathematical background and be familiar with C++ programming language. COURSE MATERIALS Textbook Required Implementing Derivatives Models, Les Clewlow and Chris Strickland Options, futures, and other derivatives, John Hull, 8th edition Textbook recommended Modeling Derivatives in C++, Justin London Computational Finance Using C and C#, George Levy Financial Instrument Pricing Using C, Daniel Duffy Monte Carlo Methods in Financial Engineering, Paul Glassman
2 CLASS ORGANIZATION & ADMINISTRATION HW1: Future-Vision-Technology By reading a visionary book, futuristic articles, or watching a mindbending movie (WALL-E for example), please write a one-page report articulating your vision of the future of finance and technology in the digital economy. Please 1) Emphasis the beneficial interaction between man and machine (technology); 2) describe finance as keep factor enabling technological advance 3) make a bold prediction that will surprise even yourself; HW2: R - Market Data Download R, and install R in your system. Write R program to download data from Yahoo (or Google) Finance. Download one historical price data for GOOG, and write an R program to calculate historical volatility using 1 year worth of historical pricing data. Demonstrate your familiarity with R
3 HW3: QuantLib Download QuantLib, and install QuantLib in your system. Demonstrate your success in installation of Quantlib Show your success by calculating option price using Black Scholes Calculator, with strike price 100, at the money, risk free rate 0.25%, volatility 20%, no dividend, 1 year call option. HW4: Binomial Tree Consider American put option with same parameters as in HW3, except the stock price is $90 (not at the money) Implementing one of the four (CRR, JR, TRG, EQP) binomial methods we discussed in class, write your own code for binomial tree using C++ or R. Test your code with benchmark results obtained using Quantlib by calling matching methods in QuantLib. If you coded correctly, your results and the benchmark results should be exactly the same.. If the results are different, correct the error in your code, so that it matches benchmark results. HW5: Trinomial Tree Finite Difference (explicit, implicit, or Crank Nicolson). Choose one of the three methods, write your own code for finite difference using C++ or R. Test your code with benchmark results obtained from QuantLib using an American call option with same parameters as in HW3, except the stock has a quarterly dividend 1% with first dividend in 1 month. Play with the number of steps (N) to demonstrate accuracy (error) with efficiency (time to completion) tradeoff. HW6: Monte Carlo Simulation Choose one of the Monte Carlo methods, write your own code for Monte Carlo Simulation using C++ or R. Test your code with benchmark results obtained from QuantLib using a European call option with same parameters as in HW3. Write a paragraph comparing the advantages and disadvantages of the 4 different numerical methods (Analytical, Binomial, FD, MC) learned thus far (HW3-6). HW7: Mobile-App-Profile Download Mobile-App SDK (Android or ios), and install the software on your mobile phone. You can either following the tutorial, or watching a youtube tutorial to start build your first mobile app. Build a personal profile App by using text, voice, pictures, video, or a combination of the above. Write a report regarding your mobile-app experience and be prepared to demo your app in class. HW8: OpenCL - bond yield calculator
4 Download OpenCL on your desktop (or notebook), following an OpenCL tutorial and build a test application calculating bond yield. A bond with maturity 10 year, 4% coupon, semi-annual payments, with market price $102. Find the yield by taking 1000 equally spaced sample of yield between 3-4%. The yield to maturity is the sample that minimizes the error. Group Project: (40% of the total grade) Number of students in a group is between 3 (minimum) and 5 (maximum). You are asked to build a numerical analytical application in an open platform or using open source. Successful modern corporation mostly all have open platform you can download to start build your application. Open source software is a good place to start when building your numerical analytical application. Based on existing resources, your project should do at least one thing that is innovative. Try your best to include at least one stochastic variable in your project. Examples of Innovative Ideas: 1. You can turn a conventional application into a mobile application; 2. You can improve a conventional application with new computational technology (e.g., parallel programming to speed up application); 3. You can turn a conventional application into a low latency application in optimized C/Linux environment - cloud computing; 4. You can apply your resources in solving a new problem, etc Group Project Report Group Formation: Groups are formed with gender and nationality diversity into consideration. Form the group as if you are starting a new business venture with a name of the corporation Start WeChat group for your company to communicate ideas and to coordinate group activities Group Project Report: For the open source project X you are working on, research How can I contribute to X. Try your best to contribute your project to the corresponding open source project organization. Groups succeed in open source submission will automatically get full grade (40 points) for the group project Write your group project report to include the following standard sections: 1) introduction; 2) methods; 3) results; 4) discussion. Individual Project Report You are to write an individual project report to describe your learning experience not included in the group project report. You may attach the group project report in the appendix of your individual report. Discuss the group dynamics, and intended roles for member in a project. Discuss member contribution by assign percentage of contribution to individual member (total not to exceed 100 including your own contribution). Finally, discuss why it is important to work in a group, and how to improve group effectiveness.
5 Project Ideas Managing money market fund in internet finance Mining Bitcoin R- finance package Quantlib additions Numerical packages in App-store, Play-store Optimizing Quantlib for speed in linux, cloud computing OpenCL projects
6 Curriculum Breadth vs Depth 书以杂读 业以精钻 Study broadly Career be focused 读万卷书 行万里路 Read 10 thousands 梁启超 ( ) books Liang Qichao Influential Thinker 9 Successful Children Walk 10 thousands miles 2
7 Steve Jobs - Connecting the Dots Creativity is just connecting the dots. When you ask creative people how they did something, they feel guilty because they didn't really do it, they just saw something, it seemed obvious after a while. That is because they were able to connect experiences they've had and synthesize new things. You can't connect the dots looking forward; you can only connect them looking backward. So you have to trust that the dots will somehow connect in your future FINAL GRADE ASSIGMENT Class participation: 4% Homework (8@7pt) 56 % Group Project 40 % 3
8 Quantitative Finance (22:839:510) COURSE SCHEDULE 1. Six waves of information technology revolution: an historical journey to cloud computing Future-Vision-Technology (HW1) 2. Basics of numerical analysis and review of numerical procedures (Hull20) R - Market Data (HW2) 3. Building blocks of the Wall Street quant s toolset (ClelowCh1) QuantLib (HW3) 4. Binomial trees: Methods and implementation (ClelowChp2) Bi-Tree (HW4) 5. Finite difference methods for PDE/SDE (ClelowCh3) Trinomial (HW5) 6. Monte Carlo simulation: Principles and methods (ClelowChp4) MC (HW6) 7. Internet Finance and financial community, XML Mobile-App-Profile (HW7) 8. Advancement in computational components technologies: achieving ultra low latency and solving the high complexity problems OpenCL -bond yield calculator (HW8) 9. Advanced Monte Carlo Methods 10. Advanced Trees, FIX Protocol 11. Quantlib Functionalities: Yield curve and volatility curve construction 12. Value at Risk application (HullCh21) 13. Credit risk application (HullCh23) 14. Course Review and Project Presentation 4
American Equity Option Valuation Practical Guide
Valuation Practical Guide John Smith FinPricing Summary American Equity Option Introduction The Use of American Equity Options Valuation Practical Guide A Real World Example American Option Introduction
More informationLahore University of Management Sciences. FINN 422 Quantitative Finance Fall Semester 2015
FINN 422 Quantitative Finance Fall Semester 2015 Instructors Room No. Office Hours Email Telephone Secretary/TA TA Office Hours Course URL (if any) Ferhana Ahmad 314 SDSB TBD ferhana.ahmad@lums.edu.pk
More informationFINN 422 Quantitative Finance Fall Semester 2016
FINN 422 Quantitative Finance Fall Semester 2016 Instructors Ferhana Ahmad Room No. 314 SDSB Office Hours TBD Email ferhana.ahmad@lums.edu.pk, ferhanaahmad@gmail.com Telephone +92 42 3560 8044 (Ferhana)
More informationDEPARTMENT OF FINANCE. Undergraduate Courses Postgraduate Courses
DEPARTMENT OF FINANCE Undergraduate Courses Postgraduate Courses Undergraduate Courses: FINA 110 Fundamentals of Business Finance [3-0-0:3] For non-sb&m students. Introductory business finance. Topics
More informationMFIN 7003 Module 2. Mathematical Techniques in Finance. Sessions B&C: Oct 12, 2015 Nov 28, 2015
MFIN 7003 Module 2 Mathematical Techniques in Finance Sessions B&C: Oct 12, 2015 Nov 28, 2015 Instructor: Dr. Rujing Meng Room 922, K. K. Leung Building School of Economics and Finance The University of
More informationMATH6911: Numerical Methods in Finance. Final exam Time: 2:00pm - 5:00pm, April 11, Student Name (print): Student Signature: Student ID:
MATH6911 Page 1 of 16 Winter 2007 MATH6911: Numerical Methods in Finance Final exam Time: 2:00pm - 5:00pm, April 11, 2007 Student Name (print): Student Signature: Student ID: Question Full Mark Mark 1
More informationUniversity of Washington at Seattle School of Business and Administration. Management of Financial Risk FIN562 Spring 2008
1 University of Washington at Seattle School of Business and Administration Management of Financial Risk FIN562 Spring 2008 Office: MKZ 267 Phone: (206) 543 1843 Fax: (206) 221 6856 E-mail: jduarte@u.washington.edu
More informationMaster of Science in Finance (MSF) Curriculum
Master of Science in Finance (MSF) Curriculum Courses By Semester Foundations Course Work During August (assigned as needed; these are in addition to required credits) FIN 510 Introduction to Finance (2)
More informationAssistant Professor Kang Wenjin ( ) (Office) BIZ , (Phone)
NATIONAL UNIVERSITY OF SINGAPORE NUS Business School Department of Finance and Accounting FIN3102A Investment Analysis Instructor: Assistant Professor Kang Wenjin (Email) bizkwj@nus.edu.sg (Office) BIZ1-02-16,
More informationMFE Course Details. Financial Mathematics & Statistics
MFE Course Details Financial Mathematics & Statistics FE8506 Calculus & Linear Algebra This course covers mathematical tools and concepts for solving problems in financial engineering. It will also help
More informationMFE Course Details. Financial Mathematics & Statistics
MFE Course Details Financial Mathematics & Statistics Calculus & Linear Algebra This course covers mathematical tools and concepts for solving problems in financial engineering. It will also help to satisfy
More informationQuantitative Investment Management
Andrew W. Lo MIT Sloan School of Management Spring 2004 E52-432 15.408 Course Syllabus 253 8318 Quantitative Investment Management Course Description. The rapid growth in financial technology over the
More informationFINITE DIFFERENCE METHODS
FINITE DIFFERENCE METHODS School of Mathematics 2013 OUTLINE Review 1 REVIEW Last time Today s Lecture OUTLINE Review 1 REVIEW Last time Today s Lecture 2 DISCRETISING THE PROBLEM Finite-difference approximations
More informationMS Finance-Quantitative (MSFQ) Academic Year
MS Finance-Quantitative (MSFQ) 2018-2019 Academic Year MSFQ Three-Semester Course Plan Preprogram Foundations Requirements Online workshops begin in July (these are in addition to required credits and
More informationThe Yield Envelope: Price Ranges for Fixed Income Products
The Yield Envelope: Price Ranges for Fixed Income Products by David Epstein (LINK:www.maths.ox.ac.uk/users/epstein) Mathematical Institute (LINK:www.maths.ox.ac.uk) Oxford Paul Wilmott (LINK:www.oxfordfinancial.co.uk/pw)
More informationFinance 4021: Derivatives Professor Michael Ferguson Lindner Hall 415 phone: office hours: MW 9:00-10:30 a.m.
University of Cincinnati College of Business Fall 2017 Finance 4021: Derivatives Professor Michael Ferguson Lindner Hall 415 phone: 556-7080 office hours: MW 9:00-10:30 a.m. e-mail: michael.ferguson@uc.edu
More informationInterest Rate Models
Interest Rate Models Marco Marchioro www.marchioro.org October 6 th, 2012 Introduction to exotic derivatives 1 Details Università degli Studi di Milano-Bicocca Facoltà di Economia Corso di laurea Magistrale
More informationWe are not saying it s easy, we are just trying to make it simpler than before. An Online Platform for backtesting quantitative trading strategies.
We are not saying it s easy, we are just trying to make it simpler than before. An Online Platform for backtesting quantitative trading strategies. Visit www.kuants.in to get your free access to Stock
More informationA COURSE IN DERIVATIVE SECURITIES: INTRODUCTION TO THEORY AND COMPUTATION (SPRINGER FINANCE) BY KERRY BACK
A COURSE IN DERIVATIVE SECURITIES: INTRODUCTION TO THEORY AND COMPUTATION (SPRINGER FINANCE) BY KERRY BACK DOWNLOAD EBOOK : A COURSE IN DERIVATIVE SECURITIES: INTRODUCTION TO THEORY AND COMPUTATION (SPRINGER
More informationALTERNATIVE TEXTBOOK:
FINC-UB.0043 Futures and Options Professor Stephen Figlewski Spring 2017 Phone: 212-998-0712 E-mail: sfiglews@stern.nyu.edu Video: Professor Figlewski on Office: MEC 9-64 Why You Should Want to Take this
More informationFinancial Engineering MRM 8610 Spring 2015 (CRN 12477) Instructor Information. Class Information. Catalog Description. Textbooks
Instructor Information Financial Engineering MRM 8610 Spring 2015 (CRN 12477) Instructor: Daniel Bauer Office: Room 1126, Robinson College of Business (35 Broad Street) Office Hours: By appointment (just
More informationAnalytics in 10 Micro-Seconds Using FPGAs. David B. Thomas Imperial College London
Analytics in 10 Micro-Seconds Using FPGAs David B. Thomas dt10@imperial.ac.uk Imperial College London Overview 1. The case for low-latency computation 2. Quasi-Random Monte-Carlo in 10us 3. Binomial Trees
More informationThe FTS Modules The Financial Statement Analysis Module Valuation Tutor Interest Rate Risk Module Efficient Portfolio Module An FTS Real Time Case
In the FTS Real Time System, students manage the risk and return of positions with trade settlement at real-time prices. The projects and analytical support system integrates theory and practice by taking
More informationINTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS. Jakša Cvitanić and Fernando Zapatero
INTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS Jakša Cvitanić and Fernando Zapatero INTRODUCTION TO THE ECONOMICS AND MATHEMATICS OF FINANCIAL MARKETS Table of Contents PREFACE...1
More informationTopic 1 Introduction and Review of Basic Concepts
ACT202 Cost and Management Accounting 1-1 Topic 1 Introduction and Review of Basic Concepts Objectives On completion of the successful study of this topic you will be able to: Explain the way in which
More informationACST829 CAPITAL BUDGETING AND FINANCIAL MODELLING. Semester 1, Department of Actuarial Studies
ACST829 CAPITAL BUDGETING AND FINANCIAL MODELLING Semester 1, 2010 Department of Actuarial Studies MACQUARIE UNIVERSITY FACULTY OF BUSINESS AND ECONOMICS UNIT OUTLINE Year and Semester: Semester 1, 2010
More informationSWITCHBACK (FOREX) V1.4
SWITCHBACK (FOREX) V1.4 User Manual This manual describes all the parameters in the ctrader cbot. Please read the Switchback Strategy Document for an explanation on how it all works. Last Updated 11/11/2017
More informationIntroducing LIST. Riccardo Bernini Head of Financial Engineering Enrico Melchioni Head of International Sales. March 2018
Introducing LIST Riccardo Bernini Head of Financial Engineering Enrico Melchioni Head of International Sales March 2018 LIST in a Nutshell LIST is a privately owned company founded in Pisa in 1985 LIST
More informationThe Mathematics Of Financial Derivatives: A Student Introduction Free Ebooks PDF
The Mathematics Of Financial Derivatives: A Student Introduction Free Ebooks PDF Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication
More informationObject-Oriented Programming: A Method for Pricing Options
Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 2016 Object-Oriented Programming: A Method for Pricing Options Leonard Stewart Higham Follow this and additional
More informationFinancial Engineering and Computation
NATIONAL TAIWAN UNIVERSITY Quantitative Finance Program Financial Engineering and Computation Professor Jr-Yan Wang Spring 2018 Room 103, Building 1, College of Management Friday 18:25-21:05 jryanwang@ntu.edu.tw
More informationAUTOMATED TRADING WITH R: QUANTITATIVE RESEARCH AND PLATFORM DEVELOPMENT BY CHRIS CONLAN
Read Online and Download Ebook AUTOMATED TRADING WITH R: QUANTITATIVE RESEARCH AND PLATFORM DEVELOPMENT BY CHRIS CONLAN DOWNLOAD EBOOK : AUTOMATED TRADING WITH R: QUANTITATIVE RESEARCH AND PLATFORM DEVELOPMENT
More informationICEF, Higher School of Economics, Moscow Msc Programme Autumn Derivatives
ICEF, Higher School of Economics, Moscow Msc Programme Autumn 2017 Derivatives The course consists of two parts. The first part examines fundamental topics and approaches in derivative pricing; it is taught
More informationComputational Finance Finite Difference Methods
Explicit finite difference method Computational Finance Finite Difference Methods School of Mathematics 2018 Today s Lecture We now introduce the final numerical scheme which is related to the PDE solution.
More informationU T D THE UNIVERSITY OF TEXAS AT DALLAS
FIN 6360 Futures & Options School of Management Chris Kirby Spring 2005 U T D THE UNIVERSITY OF TEXAS AT DALLAS Overview Course Syllabus Derivative markets have experienced tremendous growth over the past
More informationData Privacy Statement
Data Privacy Statement 1. Scope With respect to obtaining, storing, using, and all other forms of processing personal data, Credit Suisse (Switzerland) Ltd. (hereinafter referred to as the Bank ) is subject
More informationCURRICULUM MAP. Content Skills Assessment Introduction to course and rules. Short word form, Expanded form, and Point form
Month: September Essential Question: How is basic math utilized in a person s everyday life? How does the place of a digit in relationship to a decimal point determine its value? Enduring Understanding:
More information[FIN 4533 FINANCIAL DERIVATIVES - ELECTIVE (2 CREDITS)] Fall 2013 Mod 1. Course Syllabus
Course Syllabus Course Instructor Information: Professor: Farid AitSahlia Office: Stuzin 306 Office Hours: Thursday, period 9, or by appointment Phone: 352-392-5058 E-mail: farid.aitsahlia@warrington.ufl.edu
More informationQuant Finance Interviews
Quant Finance Interviews Financial Engineering Interview Prep C O U R S E B Y W W W. Q C F I N A N C E. I N H T T P : / / Q C F I N A N C E. I N / F I N A N C I A L - E N G I N E E R I N G - I N T E R
More informationComputational Finance. Computational Finance p. 1
Computational Finance Computational Finance p. 1 Outline Binomial model: option pricing and optimal investment Monte Carlo techniques for pricing of options pricing of non-standard options improving accuracy
More informationGas storage: overview and static valuation
In this first article of the new gas storage segment of the Masterclass series, John Breslin, Les Clewlow, Tobias Elbert, Calvin Kwok and Chris Strickland provide an illustration of how the four most common
More informationFIN FINANCIAL FUTURES AND OPTIONS SPRING 2015
I am interested in futures and options because I will spend the rest of my life in the future and I want to improve my options. Professor Avraham Kamara FIN 561 - FINANCIAL FUTURES AND OPTIONS SPRING 2015
More informationCredit Risk Pricing Measurement And Management Princeton Series In Finance
Credit Risk Pricing Measurement And Management Princeton Series In Finance We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing
More informationRELIABLE, SIMPLE, INNOVATIVE ONLINE TRADING
itrade PRODUCTS AND SERVICES GUIDE JUNE 2018 SANLAM ITRADE IS THE ONLINE TRADING PORTAL OF SANLAM PRIVATE WEALTH (SPW), WHICH WAS VOTED SOUTH AFRICA S TOP WEALTH MANAGER BY INTELLIDEX FOR THREE OF THE
More informationLahore University of Management Sciences. FINN 453 Financial Derivatives Spring Semester 2017
Instructor Ferhana Ahmad Room No. 314 Office Hours TBA Email ferhana.ahmad@lums.edu.pk Telephone +92 42 3560 8044 Secretary/TA Sec: Bilal Alvi/ TA: TBA TA Office Hours TBA Course URL (if any) http://suraj.lums.edu.pk/~ro/
More informationStructure and Main Features of the RIT Market Simulator Application
Build 1.01 Structure and Main Features of the RIT Market Simulator Application Overview The Rotman Interactive Trader is a market-simulator that provides students with a hands-on approach to learning finance.
More informationAdvanced Numerical Techniques for Financial Engineering
Advanced Numerical Techniques for Financial Engineering Andreas Binder, Heinz W. Engl, Andrea Schatz Abstract We present some aspects of advanced numerical analysis for the pricing and risk managment of
More informationTHE WHARTON SCHOOL Prof. Winston Dou
THE WHARTON SCHOOL Prof. Winston Dou Course Syllabus Financial Derivatives FNCE717 Fall 2017 Course Description This course covers one of the most exciting yet fundamental areas in finance: derivative
More informationIn physics and engineering education, Fermi problems
A THOUGHT ON FERMI PROBLEMS FOR ACTUARIES By Runhuan Feng In physics and engineering education, Fermi problems are named after the physicist Enrico Fermi who was known for his ability to make good approximate
More informationNational University of Singapore Dept. of Finance and Accounting. FIN 3120A: Topics in Finance: Fixed Income Securities Lecturer: Anand Srinivasan
National University of Singapore Dept. of Finance and Accounting FIN 3120A: Topics in Finance: Fixed Income Securities Lecturer: Anand Srinivasan Course Description: This course covers major topics in
More informationMATH4143: Scientific Computations for Finance Applications Final exam Time: 9:00 am - 12:00 noon, April 18, Student Name (print):
MATH4143 Page 1 of 17 Winter 2007 MATH4143: Scientific Computations for Finance Applications Final exam Time: 9:00 am - 12:00 noon, April 18, 2007 Student Name (print): Student Signature: Student ID: Question
More informationFall 2015 Phone: Video: Professor Figlewski introduces the course Office: MEC 9-64 SYLLABUS
FINC-UB.0043 Futures and Options Professor Stephen Figlewski Fall 2015 Phone: 212-998-0712 E-mail: sfiglews@stern.nyu.edu Video: Professor Figlewski introduces the course Office: MEC 9-64 SYLLABUS Course
More informationFinancial Engineering
Financial Engineering Boris Skorodumov Junior Seminar September 8, 2010 Biography Academics B.S Moscow Engineering Physics Institute, Moscow, Russia, 2002 Focus : Applied Mathematical Physics Ph.D Nuclear
More informationBasic Forex Trading Tutorial And Guide - Learnforexpro.com Forex Trading For Beginners - Comparic.com
Forex Trading The Basics Explained In Simple Terms With Video Content Bonus System For Beginners Pips Fundamentals Tips Psychology Platforms Trend Analysis Candlesticks Gann Hedging We have made it easy
More informationK-12 Educational Technology Standards
K-12 Educational Technology Standards Adapted from the National Educational Technology Standards for Students Bremen Public Schools Russ Mikel, Superintendent June 2010 Creativity and Innovation Students
More informationContents. Part I Introduction to Option Pricing
Part I Introduction to Option Pricing 1 Asset Pricing Basics... 3 1.1 Fundamental Concepts.................................. 3 1.2 State Prices in a One-Period Binomial Model.............. 11 1.3 Probabilities
More informationFINANCIAL DERIVATIVE. INVESTMENTS An Introduction to Structured Products. Richard D. Bateson. Imperial College Press. University College London, UK
FINANCIAL DERIVATIVE INVESTMENTS An Introduction to Structured Products Richard D. Bateson University College London, UK Imperial College Press Contents Preface Guide to Acronyms Glossary of Notations
More informationImplementing Models in Quantitative Finance: Methods and Cases
Gianluca Fusai Andrea Roncoroni Implementing Models in Quantitative Finance: Methods and Cases vl Springer Contents Introduction xv Parti Methods 1 Static Monte Carlo 3 1.1 Motivation and Issues 3 1.1.1
More informationTheory Of Stochastic Processes Cox Miller
We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with theory of stochastic
More information************************
Derivative Securities Options on interest-based instruments: pricing of bond options, caps, floors, and swaptions. The most widely-used approach to pricing options on caps, floors, swaptions, and similar
More informationPreface Objectives and Audience
Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets around the globe and
More informationDecision Making Under Conditions of Uncertainty: A Wakeup Call for the Financial Planning Profession by Lynn Hopewell, CFP
Decision Making Under Conditions of Uncertainty: A Wakeup Call for the Financial Planning Profession by Lynn Hopewell, CFP Editor's note: In honor of the Journal of Financial Planning's 25th anniversary,
More informationManaging the Newest Derivatives Risks
Managing the Newest Derivatives Risks Michel Crouhy IXIS Corporate and Investment Bank / A subsidiary of NATIXIS Derivatives 2007: New Ideas, New Instruments, New markets NYU Stern School of Business,
More informationA Poor Man s Guide. Quantitative Finance
Sachs A Poor Man s Guide To Quantitative Finance Emanuel Derman October 2002 Email: emanuel@ederman.com Web: www.ederman.com PoorMansGuideToQF.fm September 30, 2002 Page 1 of 17 Sachs Summary Quantitative
More informationBloomberg. Portfolio Value-at-Risk. Sridhar Gollamudi & Bryan Weber. September 22, Version 1.0
Portfolio Value-at-Risk Sridhar Gollamudi & Bryan Weber September 22, 2011 Version 1.0 Table of Contents 1 Portfolio Value-at-Risk 2 2 Fundamental Factor Models 3 3 Valuation methodology 5 3.1 Linear factor
More informationInterest-Sensitive Financial Instruments
Interest-Sensitive Financial Instruments Valuing fixed cash flows Two basic rules: - Value additivity: Find the portfolio of zero-coupon bonds which replicates the cash flows of the security, the price
More informationEconomics 659: Real Options and Investment Under Uncertainty Course Outline, Winter 2012
Economics 659: Real Options and Investment Under Uncertainty Course Outline, Winter 2012 Professor: Margaret Insley Office: HH216 (Ext. 38918). E mail: minsley@uwaterloo.ca Office Hours: MW, 3 4 pm Class
More informationCAMPUS CAREERS INVESTMENT GROUPS BUILD STRATEGIES
ABOUT BlackRock was founded 28 years ago by eight entrepreneurs who wanted to start a very different company. One that combined the best of a financial leader and a technology pioneer. And one that focused
More informationFE501 Stochastic Calculus for Finance 1.5:0:1.5
Descriptions of Courses FE501 Stochastic Calculus for Finance 1.5:0:1.5 This course introduces martingales or Markov properties of stochastic processes. The most popular example of stochastic process is
More informationRisk Neutral Pricing Black-Scholes Formula Lecture 19. Dr. Vasily Strela (Morgan Stanley and MIT)
Risk Neutral Pricing Black-Scholes Formula Lecture 19 Dr. Vasily Strela (Morgan Stanley and MIT) Risk Neutral Valuation: Two-Horse Race Example One horse has 20% chance to win another has 80% chance $10000
More informationINTERNATIONAL UNIVERSITY OF JAPAN Graduate School of International Management
INTERNATIONAL UNIVERSITY OF JAPAN Graduate School of International Academic Year: 2014/2015 Spring Course code Course title Course FIN 4200 Risk Name of Instructor Credits: Instructor s contact Office#
More informationManagement Of Banking And Financial Services By Justin Paul
Management Of Banking And Financial Services By Justin Paul We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer,
More informationFinancial Markets. Audencia Business School 22/09/2016 1
Financial Markets Table of Contents S4FIN581 - VALUATION TECHNIQUES S4FIN582 - PORTFOLIO MANAGEMENT S4FIN583 - MODULE OF SPECIALIZATION S4FIN584 - ADVANCED FINANCIAL ANALYSIS S4FIN585 - DERIVATIVES VALUATION
More informationAn Adjusted Trinomial Lattice for Pricing Arithmetic Average Based Asian Option
American Journal of Applied Mathematics 2018; 6(2): 28-33 http://www.sciencepublishinggroup.com/j/ajam doi: 10.11648/j.ajam.20180602.11 ISSN: 2330-0043 (Print); ISSN: 2330-006X (Online) An Adjusted Trinomial
More informationDiscrete Models of Financial Markets
Discrete Models of Financial Markets This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the No Arbitrage Principle. Relatively elementary
More informationMSc Financial Mathematics
MSc Financial Mathematics The following information is applicable for academic year 2018-19 Programme Structure Week Zero Induction Week MA9010 Fundamental Tools TERM 1 Weeks 1-1 0 ST9080 MA9070 IB9110
More informationLahore University of Management Sciences. FINN- 453 Financial Derivatives Spring Semester 2015
Instructor Ferhana Ahmed Room No. TBA Office Hours TBA Email ferhana.ahmad@lums.edu.pk Telephone 8044 Secretary/TA TBA TA Office Hours TBA Course URL (if any) Suraj.lums.edu.pk FINN- 453 Financial Derivatives
More informationBetter decision making under uncertain conditions using Monte Carlo Simulation
IBM Software Business Analytics IBM SPSS Statistics Better decision making under uncertain conditions using Monte Carlo Simulation Monte Carlo simulation and risk analysis techniques in IBM SPSS Statistics
More informationTHE WHARTON SCHOOL Prof. Winston Dou FNCE206 2&3 Spring 2017 Course Syllabus Financial Derivatives
THE WHARTON SCHOOL Prof. Winston Dou FNCE206 2&3 Spring 2017 Course Syllabus Financial Derivatives Course Description This course covers one of the most exciting yet fundamental areas in finance: derivative
More informationReal-World Quantitative Finance
Sachs Real-World Quantitative Finance (A Poor Man s Guide To What Physicists Do On Wall St.) Emanuel Derman Goldman, Sachs & Co. March 21, 2002 Page 1 of 16 Sachs Introduction Models in Physics Models
More informationthe value of the closed-form analysis with a binomial lattice calculation. Do the following exercises, answering the questions that are posed:
ch10(1)_4559.qxd 9/9/05 3:46 PM Page 409 Real Options Valuation Application Cases 409 the value of the closed-form analysis with a binomial lattice calculation. Do the following exercises, answering the
More informationMathematical Modeling and Methods of Option Pricing
Mathematical Modeling and Methods of Option Pricing This page is intentionally left blank Mathematical Modeling and Methods of Option Pricing Lishang Jiang Tongji University, China Translated by Canguo
More informationNew Developments in MATLAB for Computational Finance Kevin Shea, CFA Principal Software Developer MathWorks
New Developments in MATLAB for Computational Finance Kevin Shea, CFA Principal Software Developer MathWorks 2014 The MathWorks, Inc. 1 Who uses MATLAB in Financial Services? The top 15 assetmanagement
More informationInterest Rate Bermudan Swaption Valuation and Risk
Interest Rate Bermudan Swaption Valuation and Risk Dmitry Popov FinPricing http://www.finpricing.com Summary Bermudan Swaption Definition Bermudan Swaption Payoffs Valuation Model Selection Criteria LGM
More informationThe Option Trader S Mindset Think Like A Winner
We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with the option trader s
More informationACTL5103 Stochastic Modelling for Actuaries. Course Outline Semester 2, 2017
UNSW Business School School of Risk and Actuarial Studies ACTL5103 Stochastic Modelling for Actuaries Course Outline Semester 2, 2017 Course-Specific Information The Business School expects that you are
More informationActuarial Models : Financial Economics
` Actuarial Models : Financial Economics An Introductory Guide for Actuaries and other Business Professionals First Edition BPP Professional Education Phoenix, AZ Copyright 2010 by BPP Professional Education,
More informationThe Ultimate Day Trader How To Achieve Consistent Day Trading Profits In Stocks Forex And Commodities
The Ultimate Day Trader How To Achieve Consistent Day Trading Profits In Stocks Forex And Commodities We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our
More informationStreamline and integrate your claims processing
Increase flexibility Reduce costs Expedite claims Streamline and integrate your claims processing DXC Insurance RISKMASTERTM For corporate claims and self-insured organizations DXC Insurance RISKMASTER
More informationStats243 Introduction to Mathematical Finance
Stats243 Introduction to Mathematical Finance Haipeng Xing Department of Statistics Stanford University Summer 2006 Stats243, Xing, Summer 2007 1 Agenda Administrative, course description & reference,
More informationFinance (FIN) Courses. Finance (FIN) 1
Finance (FIN) 1 Finance (FIN) Courses FIN 5001. Financial Analysis and Strategy. 3 Credit Hours. This course develops the conceptual framework that is used in analyzing the financial management problems
More informationCourse Syllabus FINANCE International Financial Management (3 hrs) Summer 2017 The semester runs from May 22, 2017 to Aug, 04, 2017.
Course Syllabus FINANCE 400-301 International Financial Management (3 hrs) Summer 2017 The semester runs from May 22, 2017 to Aug, 04, 2017. Instructor: Mahfuzul Haque Office: Federal Hall: 311 Telephone:
More informationMSF Corporate Finance Courses
Last updated: April 2017 MSF Corporate Finance Courses Summer Online Foundation Workshops FIN 510 Introduction to Finance The main topics to be covered in this course are (1) principles of investments,
More informationPietro Veronesi Fixed Income Securities Thedenimore
We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with pietro veronesi fixed
More informationOption Pricing Using Monte Carlo Methods. A Directed Research Project. Submitted to the Faculty of the WORCESTER POLYTECHNIC INSTITUTE
Option Pricing Using Monte Carlo Methods A Directed Research Project Submitted to the Faculty of the WORCESTER POLYTECHNIC INSTITUTE in partial fulfillment of the requirements for the Professional Degree
More information1 The Hull-White Interest Rate Model
Abstract Numerical Implementation of Hull-White Interest Rate Model: Hull-White Tree vs Finite Differences Artur Sepp Mail: artursepp@hotmail.com, Web: www.hot.ee/seppar 30 April 2002 We implement the
More informationStochastic Processes and Advanced Mathematical Finance. Multiperiod Binomial Tree Models
Steven R. Dunbar Department of Mathematics 203 Avery Hall University of Nebraska-Lincoln Lincoln, NE 68588-0130 http://www.math.unl.edu Voice: 402-472-3731 Fax: 402-472-8466 Stochastic Processes and Advanced
More informationA. Purpose and status of Information Note 2. B. Background 2. C. SBP valuation terms 2. D. Purpose of an SBP valuation 3
Information Note: Valuation of share-based payments [Date] Contents A. Purpose and status of Information Note 2 B. Background 2 C. SBP valuation terms 2 D. Purpose of an SBP valuation 3 E. Applicable standards
More informationEquity Asset Valuation
We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with equity asset valuation.
More informationMS Finance Corporate Finance & Investments (MSFC) Academic Year
MS Finance Corporate Finance & Investments (MSFC) 2018-2019 Academic Year MSFC Two-Semester Course Plan Preprogram Foundations Requirements Online workshops begin in July (these are in addition to required
More information