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Description:
by Andrzej Palczewski
Slides (in PDF format)
1. Binomial model.
2. Greeks.
3. Random number generators.
4. Correlated Brownian motions.
5. Monte Carlo simulation.
6. Crash course in stochastic analysis.
7. Numerical schemes for SDEs.
8. Black-Scholes PDE.
9. Numerical methods for PDEs.
10. Numerical methods for American options.
11. Implied volatility. The vanna-volga method and beyond.
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Publisher: Not Specified
Published: Wed, 25-Feb-2009
ICRA: EC - Early Childhood
linked: 1440 times
Rating:  (1 Vote)
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