Shaw, William. 　著

内容

目次

Preface; 1. Advanced tools for rocket science; 2. An introduction toMathematica; 3. Mathematical finance preliminaries; 4. Mathematicalpreliminaries; 5. Log and power contracts; 6. Binary options and the normaldistribution; 7. Vanilla European calls and puts; 8. Barrier options - a casestudy in rapid development; 9. Analytical models of lookbacks; 10. VanillaAsian options - analytical methods; 11. Vanilla American options; 12. Doublebarrier, compound, Quanto options and other exotics; 13. The discipline ofthe Greeks and overview of finite-difference schemes; 14. Finite-differenceschemes for the diffusion equation with smooth initial conditions; 15.Finite-difference schemes for the Black-Scholes equation with non-smoothpayoff initial conditions; 16. SOR and PSOR schemes for the three-time-levelDouglas scheme and application to American options; 17. Linear programmingalternatives to PSOR and regression; 18. Traditional and supersymmetrictrees; 19. Tree implementation in Mathematica and basic tree pathology; 20.Turbo-charged trees with the Mathematica compiler; 21. Monte Carlo andWozniakowski sampling; 22. Basic applications of Monte Carlo; 23. Monte Carlosimulation of basket options; 24. Getting jumpy over dividends; 25. Simpledeterministic and stochastic interest-rate models; 26. Building yield curvesfrom market data; 27. Simple interest rate options; 28. Modelling volatilityby elasticity; Index.