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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 ..

Course Descriptions Our innovative curriculum is made possible by the close collaboration of four colleges on campus that together have designed a course of study specifically tailored for the computational finance program: Advanced Derivative Modeling 46-915 This course treats models in which underlying asset prices jump and/or have stochastic volatility. There is a computational component, bas..