March 2017
Beginner
284 pages
5h 32m
English
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Chapter 9. Derivative Pricing
Algorithmic trading and financial engineering are the two most computationally intensive parts of finance. People in these areas are not only experts in finance, mathematics, and statistics, but they are also well versed in computationally intensive software. In the earlier chapters, we have learnt about algorithmic trading. In this chapter, we will study the different types of derivative pricing techniques in R, as pricing of derivatives is the most crucial part of financial engineering.
Derivative price depends upon the value of its underlying. We will start with a few basic option pricing models and move to other asset classes:
- Option pricing
- Implied volatility
- Bond pricing
- Credit spread
- Credit default swaps
- Interest ...
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