We develop routines in quot;Mathematicaquot; for pricing various European and American options using the binary option model and Monte Carlo methods. As might be expected, quot;Mathematicaquot; permits parsimonious programming of the option pricing expressions

Market risk management traditionally has focussed on the distribution of portfolio value changes resulting from moves in the midpoint of bid and ask prices. Hence the market risk is really in a quot;purequot; form: risk in an idealized market with no quot;frictionquot; in obtaining the fair...

Recent literature has trumpeted the claim that extreme value theory (EVT) holds promise for accurate estimation of extreme quantiles and tail probabilities of financial asset returns, and hence hold promise for advances in the management of extreme financial risks. Our view, based on a...