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".

European Options

Black-Scholes Option Valuation / Black-Scholes Implied Volatility

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

Interpolation of European Option Prices

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

Hedging in discrete time

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

Convexity Adjustment

CMS Option

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

Bermudan Options

Bermudan Equity Option

• The Bermudan Equity Option Pricing Tool.

LIBOR Market Model

Pricing

• LIBOR Market Model pricing tool

Shape of the forward rate curve

• Shape of the forward rate curve under a LIBOR Market Model simulation

Volatility and Correlation

Impact of Instantaneous Covariance on Terminal Correlation

• Instantaneous Volatility and Correlation in the LIBOR Market Model

Impact of Instantaneous Covariance on Serial Correlation (Autocorrelation)

• 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

General Methods

• Factor Reduction / Principal Component Analysis

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