Chapter 9: Communicating in Organizations
Communication: The process by which information is transmitted and understood
between two or more people.
Effective communication results in (4 Rs)
The right message
The right person
The right way
At the right tim
R diger U. Seydel
u
Tools for
Computational Finance
Fourth Edition
ABC
Prof. Dr. Rdiger U. Seydel
Universitt Kln
Mathematisch-Naturwiss.
Fakultt
Mathematisches Institut
Weyertal 86-90
50931 Kln
Germany
[email protected]
ISBN: 978-3-540-92928-4
DOI:
CS335
Outline
Matlab Overview
Useful Commands
Matrix Construction and Flow Control
Script/Function Files
Basic Graphics
2 / 52
CS335
What is Matlab?
According to The Mathworks:
MATLAB is an integrated technical computing environment
that combines num
Course Notes on
Computational Finance
4
4. Standard Methods for Standard Options
This chapter considers options with vanilla payo (S), where S is the price of an
underlying asset. The assumed model for St is GBM. A continuous ow of
Course Notes on
Computational Finance
1
Modelling Financial Options
1. Modeling of Financial Options
1.1 Options
Denition
(Option)
An option is the right (but not the obligation) to buy or sell a risky asset at a
prespecied xed str
Course Notes on
Computational Finance
2
Random Numbers
2. Computation of Random Numbers
Denition
(sample from a distribution)
A sequence of numbers is called sample from a distribution function F , if the
numbers are independent re
Course Notes on
Computational Finance
3
Monte Carlo Methods
3. Monte Carlo Methods
In Chapter 1 we introduced the formula of risk-neutral valuation of options,
V (S0 , 0) = erT EQ [ (ST ) | S0 ] ,
where (ST ) denotes the payo. In t
Fall 2014 Course Outline
CMTH 600: Computational Methods in Mathematics
INSTRUCTOR:
Xie, Shengkun (Victor), PhD
E-MAIL: [email protected]
COURSE HOURS: Tuesday 6:00 10:00 PM
CLASSROOM: VIC301
Every effort will be made to manage the course as stated.
CHAPTER 9
Mechanics of Options Markets
Practice Questions
Problem 9.8.
A corporate treasurer is designing a hedging program involving foreign currency options.
What are the pros and cons of using (a) the NASDAQ OMX and (b) the over-the-counter
market for
CHAPTER 12
Introduction to Binomial Trees
Practice Questions
Problem 12.8.
Consider the situation in which stock price movements during the life of a European option
are governed by a two-step binomial tree. Explain why it is not possible to set up a posi
CHAPTER 6
Interest Rate Futures
Practice Questions
Problem 6.8.
The price of a 90-day Treasury bill is quoted as 10.00. What continuously compounded
return (on an actual/365 basis) does an investor earn on the Treasury bill for the 90-day
period?
The cash
INVESTMENT
SCIENCE
SECOND EDITION
DAVID G.LUENBERGER,
STANFORD UNIVERSITY
New York
Oxford
OXFORD UNIVERSITY PRESS
CONTENTS
PREFACE
xxi
Chapter 1 INTRODUCTION
_
1.1 Cash Flows
1.2 Investments and Markets
The Comparison Principle
Arbitrage
Dynamics
Risk Ave