// Switch/case를 이용한 European OPtion Pricing 계산기(Black-Scholes Model 이용) // by remings(http://remings.tistory.com) // For my C++ Educational Purpose #include #include using namespace std; //Cumulative Normal Distribution Code double N(const double x) { const double b1 = 0.319381530; const double b2 = -0.356563782; const double b3 = 1.781477937; const double b4 = -1.821255978; const double b5 = 1...
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 ..
(첫 페이지 소개중에서..) PopTools is a versatile add-in for PC versions of Microsoft Excel (97, 2000 or XP) that facilitates analysis of matrix population models and simulation of stochastic processes. It was originally written to analyse ecological models, but has much broader application. It has been used for studies of population dynamics, financial modelling, calculation of bootstrap and resampling s..
Dynamic Asset Pricing Theory, Third Edition. Darrell Duffie Book Description | Reviews TABLE OF CONTENTS: Preface xiii PART I DISCRETE-TIME MODELS 1 1. Introduction to State Pricing 3 A. Arbitrage and State Prices 3 B. Risk-Neutral Probabilities 4 C. Optimality and Asset Pricing 5 D. Efficiency and Complete Markets 8 E. Optimality and Representative Agents 8 F. State-Price Beta Models 11 Exercis..
The Dirac delta or Dirac's delta is a mathematical construct introduced by the British theoretical physicist Paul Dirac. Informally, it is a function representing an infinitely sharp peak bounding unit area: a function δ(x) that has the value zero everywhere except at x = 0 where its value is infinitely large in such a way that its total integral is 1. It is a continuous analogue of the discrete..
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