Lecturer:: Torsten Kleinow

InvestorWords.com is a comprehensive financial glossary on the web, equipping individuals with the financial knowledge necessary to understand the basics of investments.

Tutorial on Quasi-Monte Carlo Simulation

Antonietta Mira
INDEX
(Literature)
 Monte Carlo
 Markov chains
 Markov chain Monte Carlo
 Metropolis algorithm (1953)
 Hastings algorithm (1970)
 Gibbs Sampler (Geman & Geman, 1984)
\heat bath" physics 1979, 1976
 Green algorithm (1995)
 Examples

http://www.math.umn.edu/~bemis/finance/presentations.html page has nice presentations on:

* An introduction to Black-Scholes and arbitrage arguments
* An introduction to put-call parity.
* Numerical methods for a Partial-Integro Differential Equation arising from a jump-diffusion model
* Numerical methods for pricing American options using a jump-diffusion model

This excel file is a nice tutorial and explains it from groud up

Nice overview on interest rate options - Cap/floors, swaps, bermudan option, cms

This excel spreadhseet explains step-by-step procedure to bootstrap yield curve using actual sample data from Bloomberg
Also exaplains swap pricing

This spreadsheet has BDT model implementation and has Q & A

The purpose of this document is to introduce implied, local and stochastic volatility, to review evidence of non-constant volatility, and to consider the implications for option pricing of alternative random or stochastic volatility models. We focus on continuous time diffusion models for the volatility, but we also briefly discuss certain classes of discrete time models, such as ARV or ARCH.

By Prof. Klaus Erich Schmitz Abe