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Financial modelling [[electronic resource] ] : theory, implementation and practice (with Matlab source) / / Joerg Kienitz, Daniel Wetterau
Financial modelling [[electronic resource] ] : theory, implementation and practice (with Matlab source) / / Joerg Kienitz, Daniel Wetterau
Autore Kienitz Joerg
Pubbl/distr/stampa Hoboken, N.J., : Wiley, 2012
Descrizione fisica 1 online resource (735 p.)
Disciplina 332.0285/53
Altri autori (Persone) WetterauDaniel <1981->
Collana The Wiley Finance Series
Soggetto topico Finance - Mathematical models
Numerical analysis
Finance - Mathematical models - Computer programs
Numerical analysis - Computer programs
ISBN 1-118-41329-6
1-118-81856-3
1-283-59301-7
9786613905468
1-118-41331-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modelling; Contents; Introduction; 1 Introduction and Management Summary; 2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience; 5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code; PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets - Data, Basics and Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility?
1.3.2 Implied Volatility 1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility; 1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix - Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility Models; 2.2.1 The Bachelier and the Black-Scholes Model; 2.2.2 The Hull-White Model; 2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model
2.2.5 CEV and DD Models 2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options; 2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR Model; 2.3.5 SABR - Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions; 3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model
3.3.2 The Normal Inverse Gaussian Model 3.4 Other Models; 3.4.1 Exponential Lévy Models with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6 Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives; 4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3 Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4 Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection; 4.5.1 Baskets with Local Volatility
4.5.2 Markovian Projection on Local Volatility and Heston Models 4.5.3 Markovian Projection onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2 Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES; 5 Option Pricing by Transform Techniques and Direct Integration
5.1 Introduction and Objectives
Record Nr. UNINA-9910139077203321
Kienitz Joerg  
Hoboken, N.J., : Wiley, 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling : theory, implementation and practice (with Matlab source) / / Joerg Kienitz, Daniel Wetterau
Financial modelling : theory, implementation and practice (with Matlab source) / / Joerg Kienitz, Daniel Wetterau
Autore Kienitz Joerg
Edizione [1st ed.]
Pubbl/distr/stampa Hoboken, N.J., : Wiley, 2012
Descrizione fisica 1 online resource (735 p.)
Disciplina 332.0285/53
Altri autori (Persone) WetterauDaniel <1981->
Collana The Wiley Finance Series
Soggetto topico Finance - Mathematical models
Numerical analysis
Finance - Mathematical models - Computer programs
Numerical analysis - Computer programs
ISBN 1-118-41329-6
1-118-81856-3
1-283-59301-7
9786613905468
1-118-41331-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modelling; Contents; Introduction; 1 Introduction and Management Summary; 2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience; 5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code; PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets - Data, Basics and Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility?
1.3.2 Implied Volatility 1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility; 1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix - Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility Models; 2.2.1 The Bachelier and the Black-Scholes Model; 2.2.2 The Hull-White Model; 2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model
2.2.5 CEV and DD Models 2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options; 2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR Model; 2.3.5 SABR - Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions; 3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model
3.3.2 The Normal Inverse Gaussian Model 3.4 Other Models; 3.4.1 Exponential Lévy Models with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6 Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives; 4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3 Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4 Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection; 4.5.1 Baskets with Local Volatility
4.5.2 Markovian Projection on Local Volatility and Heston Models 4.5.3 Markovian Projection onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2 Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES; 5 Option Pricing by Transform Techniques and Direct Integration
5.1 Introduction and Objectives
Record Nr. UNINA-9910817597903321
Kienitz Joerg  
Hoboken, N.J., : Wiley, 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling and asset valuation with Excel / / Morten Helbæk, Ragnar Løvaas and Jon Mjølhus
Financial modelling and asset valuation with Excel / / Morten Helbæk, Ragnar Løvaas and Jon Mjølhus
Autore Helbæk Morten
Edizione [1st edition]
Pubbl/distr/stampa London ; ; New York : , : Routledge, , 2013
Descrizione fisica 1 online resource (447 p.)
Disciplina 332.0285/554
Altri autori (Persone) LøvaasRagnar <1950->
MjølhusJon
Soggetto topico Finance - Mathematical models - Computer programs
Soggetto genere / forma Electronic books.
ISBN 1-134-62027-6
0-415-63058-4
1-134-62020-9
0-203-36288-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Excel -- Getting started -- Formulas and functions -- Charts and tables -- What-if analysis -- Data analysis -- Basic finance -- Time value of money -- Investments -- Risk and portfolio models -- Valuation -- Valuation of investments and projects -- Real estate -- Bonds -- Stocks -- Options -- Simulations -- Monte Carlo simulations -- VBA -- Visual basic for applications -- Programming in VBA -- Control structures -- Working with VBA -- Procedures -- Arrays -- Userforms.
Record Nr. UNINA-9910463454603321
Helbæk Morten  
London ; ; New York : , : Routledge, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling and asset valuation with Excel / / Morten Helbæk, Ragnar Løvaas and Jon Mjølhus
Financial modelling and asset valuation with Excel / / Morten Helbæk, Ragnar Løvaas and Jon Mjølhus
Autore Helbæk Morten
Edizione [1st edition]
Pubbl/distr/stampa London ; ; New York : , : Routledge, , 2013
Descrizione fisica 1 online resource (447 p.)
Disciplina 332.0285/554
Altri autori (Persone) LøvaasRagnar <1950->
MjølhusJon
Soggetto topico Finance - Mathematical models - Computer programs
ISBN 1-134-62027-6
0-415-63058-4
1-134-62020-9
0-203-36288-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Excel -- Getting started -- Formulas and functions -- Charts and tables -- What-if analysis -- Data analysis -- Basic finance -- Time value of money -- Investments -- Risk and portfolio models -- Valuation -- Valuation of investments and projects -- Real estate -- Bonds -- Stocks -- Options -- Simulations -- Monte Carlo simulations -- VBA -- Visual basic for applications -- Programming in VBA -- Control structures -- Working with VBA -- Procedures -- Arrays -- Userforms.
Record Nr. UNINA-9910786848203321
Helbæk Morten  
London ; ; New York : , : Routledge, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling and asset valuation with Excel / / Morten Helbæk, Ragnar Løvaas and Jon Mjølhus
Financial modelling and asset valuation with Excel / / Morten Helbæk, Ragnar Løvaas and Jon Mjølhus
Autore Helbæk Morten
Edizione [1st edition]
Pubbl/distr/stampa London ; ; New York : , : Routledge, , 2013
Descrizione fisica 1 online resource (447 p.)
Disciplina 332.0285/554
Altri autori (Persone) LøvaasRagnar <1950->
MjølhusJon
Soggetto topico Finance - Mathematical models - Computer programs
ISBN 1-134-62027-6
0-415-63058-4
1-134-62020-9
0-203-36288-8
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Excel -- Getting started -- Formulas and functions -- Charts and tables -- What-if analysis -- Data analysis -- Basic finance -- Time value of money -- Investments -- Risk and portfolio models -- Valuation -- Valuation of investments and projects -- Real estate -- Bonds -- Stocks -- Options -- Simulations -- Monte Carlo simulations -- VBA -- Visual basic for applications -- Programming in VBA -- Control structures -- Working with VBA -- Procedures -- Arrays -- Userforms.
Record Nr. UNINA-9910809854603321
Helbæk Morten  
London ; ; New York : , : Routledge, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling in Python [[electronic resource] /] / S. Fletcher & C. Gardner
Financial modelling in Python [[electronic resource] /] / S. Fletcher & C. Gardner
Autore Fletcher S (Shayne)
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : Wiley, 2009
Descrizione fisica 1 online resource (246 p.)
Disciplina 332.0285/5133
332.02855133
Altri autori (Persone) GardnerChristopher
Collana Wiley finance series
Soggetto topico Finance - Mathematical models - Computer programs
Python (Computer program language)
Soggetto genere / forma Electronic books.
ISBN 0-470-68500-X
1-282-88892-7
9786612888922
0-470-74789-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modelling in Python; Contents; 1 Welcome to Python; 1.1 Why Python?; 1.1.1 Python is a general-purpose high-level programming language; 1.1.2 Python integrates well with data analysis, visualisation and GUI toolkits; 1.1.3 Python 'plays well with others'; 1.2 Common misconceptions about Python; 1.3 Roadmap for this book; 2 The PPF Package; 2.1 PPF topology; 2.2 Unit testing; 2.2.1 doctest; 2.2.2 PyUnit; 2.3 Building and installing PPF; 2.3.1 Prerequisites and dependencies; 2.3.2 Building the C++ extension modules; 2.3.3 Installing the PPF package; 2.3.4 Testing a PPF installation
3 Extending Python from C++3.1 Boost.Date Time types; 3.1.1 Examples; 3.2 Boost.MultiArray and special functions; 3.3 NumPy arrays; 3.3.1 Accessing array data in C++; 3.3.2 Examples; 4 Basic Mathematical Tools; 4.1 Random number generation; 4.2 N(.); 4.3 Interpolation; 4.3.1 Linear interpolation; 4.3.2 Loglinear interpolation; 4.3.3 Linear on zero interpolation; 4.3.4 Cubic spline interpolation; 4.4 Root finding; 4.4.1 Bisection method; 4.4.2 Newton-Raphson method; 4.5 Linear algebra; 4.5.1 Matrix multiplication; 4.5.2 Matrix inversion; 4.5.3 Matrix pseudo-inverse
4.5.4 Solving linear systems4.5.5 Solving tridiagonal systems; 4.5.6 Solving upper diagonal systems; 4.5.7 Singular value decomposition; 4.6 Generalised linear least squares; 4.7 Quadratic and cubic roots; 4.8 Integration; 4.8.1 Piecewise constant polynomial fitting; 4.8.2 Piecewise polynomial integration; 4.8.3 Semi-analytic conditional expectations; 5 Market: Curves and Surfaces; 5.1 Curves; 5.2 Surfaces; 5.3 Environment; 6 Data Model; 6.1 Observables; 6.1.1 LIBOR; 6.1.2 Swap rate; 6.2 Flows; 6.3 Adjuvants; 6.4 Legs; 6.5 Exercises; 6.6 Trades; 6.7 Trade utilities
7 Timeline: Events and Controller7.1 Events; 7.2 Timeline; 7.3 Controller; 8 The Hull-White Model; 8.1 A component-based design; 8.1.1 Requestor; 8.1.2 State; 8.1.3 Filler; 8.1.4 Rollback; 8.1.5 Evolve; 8.1.6 Exercise; 8.2 The model and model factories; 8.3 Concluding remarks; 9 Pricing using Numerical Methods; 9.1 A lattice pricing framework; 9.2 A Monte-Carlo pricing framework; 9.2.1 Pricing non-callable trades; 9.2.2 Pricing callable trades; 9.3 Concluding remarks; 10 Pricing Financial Structures in Hull-White; 10.1 Pricing a Bermudan; 10.2 Pricing a TARN; 10.3 Concluding remarks
11 Hybrid Python/C++ Pricing Systems11.1 nth imm of year revisited; 11.2 Exercising nth imm of year from C++; 12 Python Excel Integration; 12.1 Black-scholes COM server; 12.1.1 VBS client; 12.1.2 VBA client; 12.2 Numerical pricing with PPF in Excel; 12.2.1 Common utilities; 12.2.2 Market server; 12.2.3 Trade server; 12.2.4 Pricer server; Appendices; A Python; A.1 Python interpreter modes; A.1.1 Interactive mode; A.1.2 Batch mode; A.2 Basic Python; A.2.1 Simple expressions; A.2.2 Built-in data types; A.2.3 Control flow statements; A.2.4 Functions; A.2.5 Classes; A.2.6 Modules and packages
A.3 Conclusion
Record Nr. UNINA-9910140162903321
Fletcher S (Shayne)  
Chichester, : Wiley, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling in Python [[electronic resource] /] / S. Fletcher & C. Gardner
Financial modelling in Python [[electronic resource] /] / S. Fletcher & C. Gardner
Autore Fletcher S (Shayne)
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : Wiley, 2009
Descrizione fisica 1 online resource (246 p.)
Disciplina 332.0285/5133
332.02855133
Altri autori (Persone) GardnerChristopher
Collana Wiley finance series
Soggetto topico Finance - Mathematical models - Computer programs
Python (Computer program language)
ISBN 0-470-68500-X
1-282-88892-7
9786612888922
0-470-74789-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modelling in Python; Contents; 1 Welcome to Python; 1.1 Why Python?; 1.1.1 Python is a general-purpose high-level programming language; 1.1.2 Python integrates well with data analysis, visualisation and GUI toolkits; 1.1.3 Python 'plays well with others'; 1.2 Common misconceptions about Python; 1.3 Roadmap for this book; 2 The PPF Package; 2.1 PPF topology; 2.2 Unit testing; 2.2.1 doctest; 2.2.2 PyUnit; 2.3 Building and installing PPF; 2.3.1 Prerequisites and dependencies; 2.3.2 Building the C++ extension modules; 2.3.3 Installing the PPF package; 2.3.4 Testing a PPF installation
3 Extending Python from C++3.1 Boost.Date Time types; 3.1.1 Examples; 3.2 Boost.MultiArray and special functions; 3.3 NumPy arrays; 3.3.1 Accessing array data in C++; 3.3.2 Examples; 4 Basic Mathematical Tools; 4.1 Random number generation; 4.2 N(.); 4.3 Interpolation; 4.3.1 Linear interpolation; 4.3.2 Loglinear interpolation; 4.3.3 Linear on zero interpolation; 4.3.4 Cubic spline interpolation; 4.4 Root finding; 4.4.1 Bisection method; 4.4.2 Newton-Raphson method; 4.5 Linear algebra; 4.5.1 Matrix multiplication; 4.5.2 Matrix inversion; 4.5.3 Matrix pseudo-inverse
4.5.4 Solving linear systems4.5.5 Solving tridiagonal systems; 4.5.6 Solving upper diagonal systems; 4.5.7 Singular value decomposition; 4.6 Generalised linear least squares; 4.7 Quadratic and cubic roots; 4.8 Integration; 4.8.1 Piecewise constant polynomial fitting; 4.8.2 Piecewise polynomial integration; 4.8.3 Semi-analytic conditional expectations; 5 Market: Curves and Surfaces; 5.1 Curves; 5.2 Surfaces; 5.3 Environment; 6 Data Model; 6.1 Observables; 6.1.1 LIBOR; 6.1.2 Swap rate; 6.2 Flows; 6.3 Adjuvants; 6.4 Legs; 6.5 Exercises; 6.6 Trades; 6.7 Trade utilities
7 Timeline: Events and Controller7.1 Events; 7.2 Timeline; 7.3 Controller; 8 The Hull-White Model; 8.1 A component-based design; 8.1.1 Requestor; 8.1.2 State; 8.1.3 Filler; 8.1.4 Rollback; 8.1.5 Evolve; 8.1.6 Exercise; 8.2 The model and model factories; 8.3 Concluding remarks; 9 Pricing using Numerical Methods; 9.1 A lattice pricing framework; 9.2 A Monte-Carlo pricing framework; 9.2.1 Pricing non-callable trades; 9.2.2 Pricing callable trades; 9.3 Concluding remarks; 10 Pricing Financial Structures in Hull-White; 10.1 Pricing a Bermudan; 10.2 Pricing a TARN; 10.3 Concluding remarks
11 Hybrid Python/C++ Pricing Systems11.1 nth imm of year revisited; 11.2 Exercising nth imm of year from C++; 12 Python Excel Integration; 12.1 Black-scholes COM server; 12.1.1 VBS client; 12.1.2 VBA client; 12.2 Numerical pricing with PPF in Excel; 12.2.1 Common utilities; 12.2.2 Market server; 12.2.3 Trade server; 12.2.4 Pricer server; Appendices; A Python; A.1 Python interpreter modes; A.1.1 Interactive mode; A.1.2 Batch mode; A.2 Basic Python; A.2.1 Simple expressions; A.2.2 Built-in data types; A.2.3 Control flow statements; A.2.4 Functions; A.2.5 Classes; A.2.6 Modules and packages
A.3 Conclusion
Record Nr. UNINA-9910831174303321
Fletcher S (Shayne)  
Chichester, : Wiley, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial modelling in Python / / S. Fletcher & C. Gardner
Financial modelling in Python / / S. Fletcher & C. Gardner
Autore Fletcher S (Shayne)
Edizione [1st edition]
Pubbl/distr/stampa Chichester, : Wiley, 2009
Descrizione fisica 1 online resource (246 p.)
Disciplina 332.0285/5133
Altri autori (Persone) GardnerChristopher
Collana Wiley finance series
Soggetto topico Finance - Mathematical models - Computer programs
Python (Computer program language)
ISBN 0-470-68500-X
1-282-88892-7
9786612888922
0-470-74789-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Modelling in Python; Contents; 1 Welcome to Python; 1.1 Why Python?; 1.1.1 Python is a general-purpose high-level programming language; 1.1.2 Python integrates well with data analysis, visualisation and GUI toolkits; 1.1.3 Python 'plays well with others'; 1.2 Common misconceptions about Python; 1.3 Roadmap for this book; 2 The PPF Package; 2.1 PPF topology; 2.2 Unit testing; 2.2.1 doctest; 2.2.2 PyUnit; 2.3 Building and installing PPF; 2.3.1 Prerequisites and dependencies; 2.3.2 Building the C++ extension modules; 2.3.3 Installing the PPF package; 2.3.4 Testing a PPF installation
3 Extending Python from C++3.1 Boost.Date Time types; 3.1.1 Examples; 3.2 Boost.MultiArray and special functions; 3.3 NumPy arrays; 3.3.1 Accessing array data in C++; 3.3.2 Examples; 4 Basic Mathematical Tools; 4.1 Random number generation; 4.2 N(.); 4.3 Interpolation; 4.3.1 Linear interpolation; 4.3.2 Loglinear interpolation; 4.3.3 Linear on zero interpolation; 4.3.4 Cubic spline interpolation; 4.4 Root finding; 4.4.1 Bisection method; 4.4.2 Newton-Raphson method; 4.5 Linear algebra; 4.5.1 Matrix multiplication; 4.5.2 Matrix inversion; 4.5.3 Matrix pseudo-inverse
4.5.4 Solving linear systems4.5.5 Solving tridiagonal systems; 4.5.6 Solving upper diagonal systems; 4.5.7 Singular value decomposition; 4.6 Generalised linear least squares; 4.7 Quadratic and cubic roots; 4.8 Integration; 4.8.1 Piecewise constant polynomial fitting; 4.8.2 Piecewise polynomial integration; 4.8.3 Semi-analytic conditional expectations; 5 Market: Curves and Surfaces; 5.1 Curves; 5.2 Surfaces; 5.3 Environment; 6 Data Model; 6.1 Observables; 6.1.1 LIBOR; 6.1.2 Swap rate; 6.2 Flows; 6.3 Adjuvants; 6.4 Legs; 6.5 Exercises; 6.6 Trades; 6.7 Trade utilities
7 Timeline: Events and Controller7.1 Events; 7.2 Timeline; 7.3 Controller; 8 The Hull-White Model; 8.1 A component-based design; 8.1.1 Requestor; 8.1.2 State; 8.1.3 Filler; 8.1.4 Rollback; 8.1.5 Evolve; 8.1.6 Exercise; 8.2 The model and model factories; 8.3 Concluding remarks; 9 Pricing using Numerical Methods; 9.1 A lattice pricing framework; 9.2 A Monte-Carlo pricing framework; 9.2.1 Pricing non-callable trades; 9.2.2 Pricing callable trades; 9.3 Concluding remarks; 10 Pricing Financial Structures in Hull-White; 10.1 Pricing a Bermudan; 10.2 Pricing a TARN; 10.3 Concluding remarks
11 Hybrid Python/C++ Pricing Systems11.1 nth imm of year revisited; 11.2 Exercising nth imm of year from C++; 12 Python Excel Integration; 12.1 Black-scholes COM server; 12.1.1 VBS client; 12.1.2 VBA client; 12.2 Numerical pricing with PPF in Excel; 12.2.1 Common utilities; 12.2.2 Market server; 12.2.3 Trade server; 12.2.4 Pricer server; Appendices; A Python; A.1 Python interpreter modes; A.1.1 Interactive mode; A.1.2 Batch mode; A.2 Basic Python; A.2.1 Simple expressions; A.2.2 Built-in data types; A.2.3 Control flow statements; A.2.4 Functions; A.2.5 Classes; A.2.6 Modules and packages
A.3 Conclusion
Record Nr. UNINA-9910876599003321
Fletcher S (Shayne)  
Chichester, : Wiley, 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial Simulation Modeling in Excel [[electronic resource] ] : A Step-by-Step Guide
Financial Simulation Modeling in Excel [[electronic resource] ] : A Step-by-Step Guide
Autore Allman Keith
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, : Wiley, 2011
Descrizione fisica 1 online resource (211 p.)
Disciplina 332.0285/554
Altri autori (Persone) LauritoJosh
LohMichael
Collana Wiley Finance
Soggetto topico Finance --Mathematical models --Computer programs
Microsoft Excel (Computer file)
Finance - Mathematical models - Computer programs
ISBN 1-119-20092-X
1-118-13722-1
1-283-26821-3
9786613268211
1-118-13720-5
Classificazione BUS027000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Simulation Modeling in Excel; Contents; Preface; Acknowledgments; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Random Numbers, Distributions, and Basic Simulation Setup; CHAPTER 3 Correlation; CHAPTER 4 Option Pricing; CHAPTER 5 Corporate Default Simulation; CHAPTER 6 Simulating Pools of Assets; CHAPTER 7 Dealing with Data Deficiencies and Other Issues; CHAPTER 8 Advanced Topics and Further Reading; APPENDIX A Partial Differential Equations; APPENDIX B Newton-Raphson Method; References; Index
Record Nr. UNINA-9910139590803321
Allman Keith  
Hoboken, : Wiley, 2011
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Financial Simulation Modeling in Excel : A Step-by-Step Guide
Financial Simulation Modeling in Excel : A Step-by-Step Guide
Autore Allman Keith
Edizione [1st edition]
Pubbl/distr/stampa Hoboken, : Wiley, 2011
Descrizione fisica 1 online resource (211 p.)
Disciplina 332.0285/554
Altri autori (Persone) LauritoJosh
LohMichael
Collana Wiley Finance
Soggetto topico Finance --Mathematical models --Computer programs
Microsoft Excel (Computer file)
Finance - Mathematical models - Computer programs
ISBN 1-119-20092-X
1-118-13722-1
1-283-26821-3
9786613268211
1-118-13720-5
Classificazione BUS027000
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Financial Simulation Modeling in Excel; Contents; Preface; Acknowledgments; About the Authors; CHAPTER 1 Introduction; CHAPTER 2 Random Numbers, Distributions, and Basic Simulation Setup; CHAPTER 3 Correlation; CHAPTER 4 Option Pricing; CHAPTER 5 Corporate Default Simulation; CHAPTER 6 Simulating Pools of Assets; CHAPTER 7 Dealing with Data Deficiencies and Other Issues; CHAPTER 8 Advanced Topics and Further Reading; APPENDIX A Partial Differential Equations; APPENDIX B Newton-Raphson Method; References; Index
Record Nr. UNINA-9910820532003321
Allman Keith  
Hoboken, : Wiley, 2011
Materiale a stampa
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