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Jamshidian's trick is a technique for one-factor asset price models, which re-expresses an option on a portfolio of assets as a portfolio of options. It was developed by Farshid Jamshidian in 1989. The trick relies on the following simple, but very useful mathematical observation.
First character of model type (read positions 7,8 and 12 together). 8: Second character of model type (read positions 7,8 and 12 together). 9: For RoW = 0-9,X,Z (filler) Calculated checkdigit. 10: Year code. 11: Factory code. 12: Third character of model type (read positions 7,8 and 12 together). 13: Body configuration code or leading digit of ...
Genius (also known as the Genius Math Tool) is a free open-source numerical computing environment and programming language, [2] similar in some aspects to MATLAB, GNU Octave, Mathematica and Maple. Genius is aimed at mathematical experimentation rather than computationally intensive tasks. It is also very useful as just a calculator.
Wolfram Mathematica is a software system with built-in libraries for several areas of technical computing that allows machine learning, statistics, symbolic computation, data manipulation, network analysis, time series analysis, NLP, optimization, plotting functions and various types of data, implementation of algorithms, creation of user interfaces, and interfacing with programs written in ...
Martingale pricing is a pricing approach based on the notions of martingale and risk neutrality.The martingale pricing approach is a cornerstone of modern quantitative finance and can be applied to a variety of derivatives contracts, e.g. options, futures, interest rate derivatives, credit derivatives, etc.
The code can also be constructed as the quadratic residue code of length 11 over the finite field F 3 (i.e., the Galois Field GF(3)). Used in a football pool with 11 games, the ternary Golay code corresponds to 729 bets and guarantees exactly one bet with at most 2 wrong outcomes. The set of codewords with Hamming weight 5 is a 3-(11,5,4) design.
The simplest lattice model is the binomial options pricing model; [7] the standard ("canonical" [8]) method is that proposed by Cox, Ross and Rubinstein (CRR) in 1979; see diagram for formulae. Over 20 other methods have been developed, [ 9 ] with each "derived under a variety of assumptions" as regards the development of the underlying's price ...
The theorem is especially important in the theory of financial mathematics as it explains how to convert from the physical measure, which describes the probability that an underlying instrument (such as a share price or interest rate) will take a particular value or values, to the risk-neutral measure which is a very useful tool for evaluating ...