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".


European Options

Black-Scholes Option Valuation / Black-Scholes Implied Volatility

Interpolation of European Option Prices

Hedging in discrete time

Convexity Adjustment

CMS Option

Bermudan Options

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)

General Methods

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This work is © Copyright Christian Fries