January 2011
Intermediate to advanced
298 pages
8h 17m
English
Index
ADI schemes
see also Craig–Sneyd…; Peaceman–Rachford…
aggregate prices, volatility smiles
American digitals/binaries
see also binary options; digitals
American options
antithetic sampling, concepts
ARS
Asian options
asset classes
asset-or-nothing digitals
asymptotic expansion
at-the-money options (ATM)
AUD
auxiliary state variables
average strike calls/puts
average-rate options see Asian options
backward Kolmogorov equations
backward PDE schemes
backward tau and central space method (BTCS)
barrier bending
barrier options
continuous monitoring
definitions
types
basis risk
basis swaps
basket options
benchmark tenors, liquid markets
Bermudan options
Bessel process
best-ofs
bid/offer digital pricing, static replication methods
bid/offer spreads
bilinear or bicubic interpolation uses
binary options
see also digitals
binomial models
see also finite difference methods
bisection method
Black (1976) model
Black–Scholes equation, concepts
Black–Scholes model
assumptions
critique
law of one price
numerical methods
Black–Scholes term structure model
see also term-structure prices
Bloomberg Finance L.P.
bonds
boundary conditions
Box–Muller method
Breeden-Litzenberger analysis
Brent scheme
British Summer Time (BST)
BRL
Broadie–Glassermann–Kou correction
broken dated options
Brownian bridge Monte Carlo approach
Brownian motion
butterflies
CAD
calibration
‘Call Option Solution II’
call options
callable PRDCs
caplets
cash-or-nothing digitals
CEV model
chain rule
CHF
Cholesky decomposition ...
