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C# for Financial Markets by Andrea Germani, Daniel J. Duffy

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List of Tables

2.1 Built-in data types in C#

7.1 Associative matrix presented in Excel

9.1 Binomial method output

9.2 Basket put, T = 0.95, NT = 500

9.3 Basket put, T = 0.05, NT = 500

9.4 Padé table for exp ( − z)

9.5 Option pricing with Padé approximants

10.1 Accuracy of ADE, put option

10.2 Accuracy of ADE, call option

10.3 Stress-testing ADE, put option

10.4 Convection-dominated problems

10.5 Testing the CEV model, put option

10.6 Calculating sensitivities

10.7 Early exercise, σ = 0.3 , r = 0.06

10.8 Early exercise, σ = 0.5 , r = 0.12

10.9 Comparison with online calculator

10.10 ADE improving accuracy

10.11 Comparison of FDM methods

10.12 Implicit Euler, early exercise

14.1 Option market prices

15.1 Calibration: difference between recalculated quotes and market value

15.2 Case test: shifting input data

15.3 Sensitivities representation

16.1 Sensitivity calculation

17.1 Calculating cap price using caplet volatilities

17.2 Multi-strike cap

17.3 Amortising cap

17.4 Example of cap volatility matrix

19.1 Worksheet with column names

19.2 Worksheet without column names

A2.1 Starting values

A2.2 Forward rate

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