Financial Methods: A Quantitative Approach

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

Abstract

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 and 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 and risk premium with copula approaches as well

• Item Type: MPRA Paper
• Language: English
• Keywords: Contingent Claim, Interest Rate Models, Credit Risk Models
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C02 - Mathematical Methods; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General

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