Here you find some "experiments" on certain special topics of mathematical finance. They are given as Java applets. The applets illustrate topics discussed in "Mathematical Finance: Theory, Modeling, Implementation".

- The Black-Scholes Option Valuation provides different interpolations for given European option prices.

- The Option Price Interpolation Applet a very simple Black-Scholes option calculator.

- The Hedge Simulator perfoms a delta or delta gamma hedge for an European option.

- CMS Option Pricing using LIBOR Market Model.
- CMS Option using LIBOR Market Model versus CMS Option using Black-Scholes with Hunt-Kennedy Adjustment.

- Autocorrelation of Forward Rates under a LIBOR Market Model 1
- Autocorrelation of Forward Rates under a LIBOR Market Model 2: Dependence on Mean Reversion and Instantaneous Correlation

Please send feedback or questions to email@christian-fries.de - thank you.

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