Mathematical Finance: Laboratory
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".
Black-Scholes Option Valuation / Black-Scholes Implied Volatility
Interpolation of European Option Prices
Hedging in discrete time
The Hedge Simulator perfoms a delta or delta gamma hedge for an European option.
Bermudan Equity Option
LIBOR Market Model
Shape of the forward rate curve
Volatility and Correlation
Impact of Instantaneous Covariance on Terminal Correlation
Impact of Instantaneous Covariance on Serial Correlation (Autocorrelation)
Please send feedback or questions to email@example.com - thank you.
This work is © Copyright Christian Fries