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MathGroup Archive 2003

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Derivatives package

  • To: mathgroup at smc.vnet.net
  • Subject: [mg39313] Derivatives package
  • From: Kyriakos Chourdakis <k.chourdakis at qmul.ac.uk>
  • Date: Tue, 11 Feb 2003 04:41:04 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

Dear all,

I am not sure if this is the right place to post this ad.

I am writing a package for financial derivatives, which I am distributing
to my students to experiment with.
Before I actually distribute it, I am looking for people that can give me
some feedback about the ease of the exposition and possible some tips of a
more technical nature. The students typically have no knowledge of
Mathematica type software whatsoever.

The package does the following:
* European style option pricing and greeks for the following models:
*** Black Scholes
*** Merton jump diffusion
*** Heston stochastic volatility
*** Bakshi Cao Chen jump diffusion stochastic volatility
*** Cox Ross Rubinstein binomial
* American style option pricing for the following:
*** Binomial
*** Barone-Adesi Whaley
* Graphical output for trees and exercise regions for the American puts
* Graphs of portfolio payoffs (eg. for spread analysis)
* Graphs of portfolio greeks (eg. for spreads, volatility trading etc.)

The following are in notebook form but will be included soon
* Extraction of tree parameters for the Ho Lee model for the short rate
given a yield curve
* American/European pricing using the Ho Lee tree version
* Simulations for mark-to-market procedures and futures payoffs
* Simulations for dynamic delta and delta-gamma hedging
* Simulations for VaR and stress testing

If anyone is interested in lending me a few minutes, you can contact me to
send you the package. If you are in London I can even offer you a pint for
your time :)

Kyriakos



_____+*"*+____+*"*+___+*"*+__+*"*+_

Kyriakos Chourdakis
Lecturer in Financial Economics

URL: http://www.theponytail.net
URL: http://www.qmul.ac.uk/~te9001
tel: (++44) (+20) 7882 5086
Dept of Economics
University of London, QM
London E1 4NS
U.K.


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