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Book Chapters
Contents
Software [browser] [Java]
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Introduction
capital market, computer technology, algorithms
[notes on software & browsers] [Navigator faster than IE?]
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Time Value of Money
compounding, discounting, annuity, amortization, bond, yield, accrued interest
[time value of money] [annuity] [annuity (premium upon death)] [mortgage] [bond yield & accrued interest] [dates]
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Bond Price Volatility
duration(s), convexity, immunization
[duration & convexity]
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Term Structure
yield curve, spot rate, forward rate, term structure theories
[bond] [static spread] [spot & forward rates from coupon bonds] [default probability (zeros)] [default probability (coupon bonds)]
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Option Pricing
Black-Scholes, binomial, European, American
[Black-Scholes formula] [option (no div.)] [option (discrete div. yld.)] [option (continuous div. yld.)] [option (diagonal method)] [option (trinomial tree)] [exercise boundary plotter] [option pricing with extrapolation]
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Numerical Greeks (& Some Latin)
delta, gamma, vega, theta
[sensitivities (no div.)] [sensitivities (continuous div. yld.)]
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Option Applications & Exotic Options
Corporate securities, barrier, Asian, lookback, Parisian,compound, exchange, etc.
[Digital (binary/cash-or-nothing) option] [single-barrier option] [single-barrier option (trinomial tree)] [double-barrier option] [double-barrier option (trinomial tree)] [reset option] [lookback option] [Parisian option] [Parisian option (trinomial tree)] [cumulative Parisian option (trinomial tree)] [compound option] [exchange option] [Bermudan option] [geometric Asian option] [arithmetic Asian option] [arithmetic Asian option (range bound)]
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More Derivatives
futures, forward, futures option, swap
[futures option]
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Continuous-Time Mathematics
Brownian motion, Ito process, estimation, partial differential equation
[geometric Brownian motion] [geometric Brownian motion (correlated)] [maximum likelihood estimation] [finite difference pricer & plotter]
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Hedging
delta hedge, delga-gamma hedge, insurance
[delta hedge (BS)] [delta hedge (binomial)]
Monte Carlo & Quasi-random
variance reduction, Brownian bridge, Halton-, Sobel-, Faure-sequences
[option (crude)] [option (antithetic)] [option (control variates)] [arithmetic Asian option (antithetic)] [arithmetic Asian option (control variates)] [lookback option] [single-barrier option (antithetic)] [single-barrier option (Brownian bridge)] [single-barrier option (Brownian bridge, antithetic)]
GARCH option pricing model
multinomial tree, Monte Carlo
[option (trinomial model)] [option (antithetic)]
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Interest Rate Models
lognormal, Vasicek, CIR, BDT, Hull-White, HJM
[bond (Vasicek)] [bond (CIR)] [calibration of Hull-White model]
Interest Rate Derivatives
futures, swap, option, swaption, IAS
[bond option (Vasicek)] [bond option (CIR)]
Mortgage-backed Securities 1
prepayment, PSA, CPR, SMM, pass-through, CMO, stripped MBS
[PSA to SMM] [CPR to SMM] [pool cash flow (single SMM)] [pool cash flow (vector)] [pool P&I tabulator (vector)] [pool P&I plotter (PSA)] [pool P&I plotter (vector)] [stripped MBS (vector)]
Mortgage-backed Securities 2
ARM, prepayment model, seq. CMO, PO/IO, PAC, option-adjusted spread, cash flow, duration
[seq. CMO (PSA)] [seq. CMO (vector)] [seq. CMO plotter (PSA)] [seq. CMO plotter (vector)] [seq. CMO pricer (vector)] [seq. CMO WAL (PSA)] [seq. CMO WAL (vector)] [PAC] [PAC WAL] [PAC plotter]
Corporate Bonds
convertible bond, callable & put bond, option-adjusted spread
[convertible bond] [callable bond (CIR)] [putable bond (CIR)] [OAS of callable bond (CIR)] [OAS of putable bond (CIR)] [Convertible Bond Information System (CBIS)]
Portfolio Theory
CAPM, APT, VaR
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Corrigenda

Based on the book, Yuh-Dauh Lyuu, Financial Engineering & Computation: Principles, Mathematics, Algorithms, Cambridge University Press, 2002.

© Yuh-Dauh Lyuu