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Efficient computation of option price sensitivies for options of American style

Wallner, Christian; Wystup, Uwe - 2004

No front-office software can survive without providing derivatives of option prices with respect to underlying market or model parameters, the so called Greeks. If a closed form solution for an option exists, Greeks can be computed analytically and they are numerically stable. However, for...

Persistent link: https://www.econbiz.de/10011293936

Convergence of arbitrage-free discrete time Markovian market models

Leitner, Johannes - 2000

We consider two sequences of Markov chains inducing equivalent measures on the discrete path space. We establish conditions under which these two measures converge weakly to measures induced on the Wiener space by weak solutions of two SDEs, which are unique in the sense of probability law. We...

Persistent link: https://www.econbiz.de/10011544749

Simulation techniques in financial risk management : [with website]

Chan, Ngai Hang; Wong, Hoi Ying - 2015 - 2. ed.

Praise for the First Edition“…a nice, self-contained introduction to simulation and computational techniques in finance … examples to illustrate how to use simulation techniques in risk managementPractical case studies, such as the pricing of exotic … VBA and S-Plus computer code for many of the examples within the book Simulation Techniques in Financial Risk Management …

Persistent link: https://www.econbiz.de/10011283286

Tools for computational finance

Seydel, Rüdiger - 2004 - 2. ed.

Persistent link: https://www.econbiz.de/10001786474

Tools for computational finance

Seydel, Rüdiger - 2009 - 4. ed.

Persistent link: https://www.econbiz.de/10003801677

Quantitative finance : a simuation based introduction using Excel

Davison, Matt - 2014

Teach Your Students How to Become Successful Working QuantsQuantitative Finance: A Simulation-Based Introduction Using … cash flow project analysis, the book covers mortgages, bonds, and annuities using a blend of Excel simulation and …