Munich Personal RePEc Archive

Financial Methods: A Quantitative Approach

Giandomenico, Rossano (2015): Financial Methods: A Quantitative Approach.

WarningThere is a more recent version of this item available.

Download (433kB) | Preview


The study analyses finite difference methods and stochastic volatility for option pricing model till Asian and Barrier options. Simulated result is presented with VBA code. The interest rate models is analyzed in arbitrage setting e simulated environment by using an affine term structure and the drift condition in combination with inflation model by measuring the liquidity and risk premium by presenting an efficient Monte Carlo simulator. Structural Model is presented in single time maturity and default barrier in first passage model. The intensity model is also faced by analyzing the liquidity e risk premium with copula approaches as well

Available Versions of this Item

MPRA is a RePEc service hosted by
the Munich University Library in Germany.