Book Chapters

Contents

Software
[browser]
[Java]


Introduction
capital market,
computer technology, algorithms 
[notes on software & browsers]
[Navigator faster than IE?]


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]


Bond Price Volatility
duration(s), convexity,
immunization 
[duration & convexity]


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)]


Option Pricing
BlackScholes, binomial,
European, American 
[BlackScholes 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]


Numerical Greeks (&
Some Latin)
delta, gamma, vega, theta 
[sensitivities (no div.)]
[sensitivities (continuous div. yld.)]


Option Applications
& Exotic Options
Corporate securities,
barrier, Asian, lookback, Parisian,compound, exchange, etc. 
[Digital (binary/cashornothing) option]
[singlebarrier option]
[singlebarrier option (trinomial tree)]
[doublebarrier option]
[doublebarrier 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)]


More Derivatives
futures, forward,
futures option, swap 
[futures option]


ContinuousTime
Mathematics
Brownian motion,
Ito process, estimation, partial differential equation 
[geometric Brownian motion]
[geometric Brownian motion (correlated)]
[maximum likelihood estimation]
[finite difference pricer & plotter]


Hedging
delta hedge, delgagamma hedge, insurance 
[delta hedge (BS)]
[delta hedge (binomial)]


Monte Carlo &
Quasirandom
variance reduction,
Brownian bridge,
Halton, Sobel, Fauresequences 
[option (crude)]
[option (antithetic)]
[option (control variates)]
[arithmetic Asian option (antithetic)]
[arithmetic Asian option (control variates)]
[lookback option]
[singlebarrier option (antithetic)]
[singlebarrier option (Brownian bridge)]
[singlebarrier option (Brownian bridge, antithetic)]


GARCH option pricing model
multinomial tree, Monte Carlo 
[option (trinomial model)]
[option (antithetic)]


Interest Rate Models
lognormal, Vasicek, CIR, BDT,
HullWhite, HJM 
[bond (Vasicek)]
[bond (CIR)]
[calibration of HullWhite model]


Interest Rate
Derivatives
futures, swap, option,
swaption, IAS 
[bond option (Vasicek)]
[bond option (CIR)]


Mortgagebacked
Securities 1
prepayment, PSA,
CPR, SMM, passthrough, 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)]


Mortgagebacked
Securities 2
ARM, prepayment model,
seq. CMO, PO/IO,
PAC, optionadjusted 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, optionadjusted 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 


Corrigenda 
