Search results
Results from the WOW.Com Content Network
Java applets for pricing under a LIBOR market model and Monte-Carlo methods; Jave source code and spreadsheet of a LIBOR market model, including calibration to swaption and product valuation; Damiano Brigo's lecture notes on the LIBOR market model for the Bocconi University fixed income course
For example, for bonds, and bond options, [13] under each possible evolution of interest rates we observe a different yield curve and a different resultant bond price. To determine the bond value, these bond prices are then averaged; to value the bond option, as for equity options, the corresponding exercise values are averaged and present valued.
The HJM framework originates from the work of David Heath, Robert A. Jarrow, and Andrew Morton in the late 1980s, especially Bond pricing and the term structure of interest rates: a new methodology (1987) – working paper, Cornell University, and Bond pricing and the term structure of interest rates: a new methodology (1989) – working paper ...
For premium support please call: 800-290-4726 more ways to reach us
The trinomial tree is a lattice-based computational model used in financial mathematics to price options. It was developed by Phelim Boyle in 1986. It is an extension of the binomial options pricing model, and is conceptually similar. It can also be shown that the approach is equivalent to the explicit finite difference method for option ...
The cross correlation is between stock and stock and their time series data is free of time delays. Step 4: In case of the minimum spanning tree method a metric distance d i j {\displaystyle dij} is calculated using the cross correlation matrix.
A correlation swap is an over-the-counter financial derivative that allows one to speculate on or hedge risks associated with the observed average correlation, of a collection of underlying products, where each product has periodically observable prices, as with a commodity, exchange rate, interest rate, or stock index.
Managing Director of PGIM’s Institutional Advisory & Solutions Group, Noah Weisberger, joins Yahoo Finance to discuss the effectiveness of policies imposed by the Fed and Macroeconomic drivers ...