contents
Preface page vi
1 Advanced Tools for Rocket Science 1
2 An Introduction to Mathematica 12
3 Mathematical Finance Preliminaries 68
4 Mathematical Preliminaries 85
5 Log and Power Contracts 127
6 Binary Options and the Normal Distribution 136
7 Vanilla European Calls and Puts 151
8 Barrier Options - a Case Study in Rapid Development 167
9 Analytical Models of Lookbacks 189
10 Vanilla Asian Options - Analytical Methods 200
Il Vanilla American Options - Analytical Methods 215
12 Double Barrier, Compound, Quanto Options and Other Exotics 237
13 The Discipline of the Greeks and Overview of Finite-Difference Schemes 258
14 Finite-Difference Schemes for the Diffusion Equation with Smooth Initial Conditions 266
15 Finite-Difference Schemes for the Black-Scholes Equation with Non-smooth Payoff Initial Conditions 279
16 SOR and PSOR Schemes for the Three-Time-Level Douglas Scheme and Application to American Options 306
17 Linear Programming Alternatives to PSOR and Regression 331
18 Traditional and Supersymmetric Trees 344
19 Tree Implementation in Mathematica and Basic Tree Pathology 363
20 Turbo-charged Trees with the Mathematica Compiler 387
21 Monte Carlo and Wozniakowski Sampling 400
22 Basic Applications of Monte Carl0 420
23 Monte Carlo Simulation of Basket Options 437
24 Getting Jumpy over Dividends 454
25 Simple Deterministic and Stochastic Interest-Rate Models 470
26 Building Yield Curves from Market Data 482
27 Simple Interest Rate Options 504
28 Modelling Volatility by Elasticity 515
Index 534 |
