Get Advanced Quantitative Finance with C++ PDF

By Alonso Peña

ISBN-10: 1782167226

ISBN-13: 9781782167228

This publication will introduce you to the foremost mathematical types used to cost monetary derivatives, in addition to the implementation of major numerical types used to unravel them. specifically, fairness, foreign money, rates of interest, and credits derivatives are mentioned. within the first a part of the booklet, the most mathematical versions utilized in the area of monetary derivatives are mentioned. subsequent, the numerical tools used to resolve the mathematical types are awarded. eventually, either the mathematical versions and the numerical equipment are used to resolve a few concrete difficulties in fairness, foreign money, rate of interest, and credits derivatives.

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Example text

The current risk-free rate is 5 percent pa. How do we proceed to solve this problem using MC simulation? We proceed using the following three phases: 1. The first step is to generate trajectories. 00. For simplicity, we choose to discretize the life of the option from t=[0,T] into N=5 time steps and to do M=5 simulations using GBM in discrete terms, as follows: 6L  6L   U 'W  VH L 'W The five trajectories will thus be as follows: 6 o 6 o 6  o 6 o 6  o 6 6 o 6 o 6  o 6 o 6  o 6 6 o 6 o 6  o 6 o 6  o 6 6 o 6 o 6  o 6 o 6  o 6 6 o 6 o 6  o 6 o 6  o 6 The prices of the stock at maturity will be as follows: ^6    6  6   6   6 ` 2.

The answer is certainly not simply "5 percent pa" because we also need to specify the maturity of the rates (T) we want to know. So interest has one more dimension than objects like equities or forex. While the currently observed equity value is a scalar quantity, that is, a single number, the current interest rate curve is a vector. eu/). We denote these spot rates quoted by R(t,T) as R(0,3M)=EURIBOR 3M = 1 percent pa, R(0,6M)= EURIBOR 6M = 2 percent pa, R(0,9M)=EURIBOR 9M = 3 percent pa, and R(0,12M)=EURIBOR 12M = 4 percent pa.

Collocate the stencil to all the nodes of the domain. The following is the initial condition: X [  PD[ H[S  N   [  H[S  N   [  Alternatively, the following is the condition with numerical values: X [  ^   ` In the preceding equation, N . The following is the final boundary condition: X W  and X W  . 4. Iterate the solution in time with the stencil until we cover the full domain. The following are the internal nodes: XL  M  D XL  M    D XL  M  D XL  M   M  XL  M  D XL  M    D XL  M  D XL  M L L   M   XL  M  D XL  M    D XL  M  D XL  M L   M   XL  M  D XL  M    D XL  M  D XL  M [ 49 ] Numerical Methods We can arrange the numerical results from our algorithm as shown in the table in the following screenshot, using the transformed variables (upper table) or the original variables (lower table), where we can find that for S=75 and t=0, the option price is £4,20: Example of Finite Difference pricing.

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Advanced Quantitative Finance with C++ by Alonso Peña

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