Back to Basics

Public Sub ThreeWeight() Dim i As Double, j As Integer Dim s As Worksheet Dim N As Double Dim sum As Double Dim cel As Double Dim a(2) As Double Set s = Sheet1 N = 60000 For i = 1 To N For j = 1 To 3 s.Cells(i, j) = Rnd() Next j Next i For i = 1 To N For j = 1 To 3 a(j - 1) = s.Cells(i, j) Next j '3가지 rand()의 합계구함 sum = a(0) + a(1) + a(2) For j = 1 To 3 s.Cells(i, j + 4) = a(j - 1) / sum Next j ..

'Normal dist. Random number Generator Option Explicit Sub B_M_G() Const pi = 3.14159265358979 Dim i As Integer, N As Double Dim u1 As Double, u2 As Double, u3 As Double Dim a1 As Double Dim p1 As Double, p2 As Double Dim nr1 As Double, nr2 As Double, nr3 As Double Dim s As Worksheet Set s = Sheet1 N = InputBox("얼마나 생성할까?", "생성하고 싶은 개수") For i = 0 To N 'Box-Muller Generator u1 = Rnd() u2 = Rnd() ..

Master of Science in Finance(MSF) Programs in US universities Links updated at 30.11.2007 List of Universities offering Master of Science in Finance(MSF), Financial Mathematics(MSFM), Financial Engineering(MSFE), Computational Finance(MSCF), Mathematical Finance(MSMF) and Quantitative Finance(MSQF) in the USA. Auburn University MSF Baruch College MSF Bentley College MSF Boston College MSF Brande..

목차 PREFACE ACKNOWLEDGEMENTS NOTATION PT. 1 IMPLEMENTING MODELS IN A GENERALISED BLACK-SCHOLES WORLD CH. 1 THE BLACK-SCHOLES WORLD, OPTION PRICING AND NUMERICAL TECHNIQUES ... 3 CH. 2 THE BINOMIAL METHOD ... 10 CH. 3 TRINOMIAL TREES AND FINITE DIFFERENCE METHODS ... 52 CH. 4 MONTE CARLO SIMULATION ... 82 CH. 5 IMPLIED TREES AND EXOTIC OPTIONS ... 134 PT. 2 IMPLEMENTING INTEREST RATE MODELS CH. 6 ..

Exponential Weighted Moving Average (EWMA) Volatility Measure One of the drawbacks with the historical approach of forecasting volatility of asset prices is that all observations during the sampling period (the squared periodic returns) are assigned equal weights. This does not make much sense since recent returns in the market tend to have a higher influence in forecasting volatility than past ..