- 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.