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Wilmott P., Bowison S., DeWynne J. — Option Pricing: Mathematical Models and Computation
Wilmott P., Bowison S., DeWynne J. — Option Pricing: Mathematical Models and Computation



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Название: Option Pricing: Mathematical Models and Computation

Авторы: Wilmott P., Bowison S., DeWynne J.

Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Издание: 1st edition

Год издания: 1993

Количество страниц: 457

Добавлена в каталог: 26.02.2008

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Crank — Nicolson method, mesh      308
Crank — Nicolson method, pseudo-code      311
Crank — Nicolson method, stability      310 312
Delta      43 44 64
Delta function      81 92 94 142
Delta function, delta-sequence      94
Delta, American option      62
Delta, delta-hedging      64
Delta, delta-neutral      64
Delta, European call      49
Delta, European put      49
Delta, lattice methods      386
Delta, with transaction costs      224
Delta-hedging      63 225
Density function, lognormal      23
Density function, normal      21
Density function, transition      358
Diffusion equation      79 80 88 268 338
Diffusion equation, backward      85 283 286
Diffusion equation, boundary conditions      83
Diffusion equation, characteristics      80 83
Diffusion equation, explicit solution      92
Diffusion equation, forward      85
Diffusion equation, fundamental solution      81 90 92 93
Diffusion equation, initial conditions      83
Diffusion equation, initial value problem      92
Diffusion equation, numerical methods      261 267
Diffusion equation, numerical stability      283
Digital option      38 148 150
Dilution      259
Dimensionless parameter      98 112
Dimensionless variables      100
Directional derivative      77
Discounting      16
Discrete sampling      161
Discrete sampling, average rate option      193
Discrete sampling, average strike option      162
Discrete sampling, jump condition      162
Discrete sampling, lookback option      209
Discretisation      263
Discretisation error      286 287
Discretisation, average strike      337 346
Discretisation, characteristics      346
Discretisation, finite-difference      263
Discretisation, finite-element      263 421
Dividend      42 52 110 135
Dividend yield      52
Dividend yield, binomial method      397 400
Dividend, binomial method      397 399
Dividend, discrete      136 137 399
Dividend, effect of discrete on option      138
Dividend, effect on binomial lattice      399
Dividend, jump in asset price for discrete      137
Dividend, lattice method      387
Dividend, structure of      136
Dividend, yield      136 137
Down-and-out option      149
Drift      20
Early exercise      54
Early exercise, probability of      374
Efficiency, binomial method      401
Efficiency, lattice methods      387
Efficiency, trinomial method      407
Efficient frontier      14
Efficient market      13
Efficient market hypothesis      19
European call, binomial method      391
European call, Black — Scholes formula      49
European call, boundary conditions      268
European call, delta      49
European call, explicit formula      100
European call, formula with dividends      53
European call, initial condition      268
European call, numerical solution      268
European option      14
European option, binomial method      392
European option, Black — Scholes formulae      100
European option, Crank — Nicolson method      293
European option, explicit method      277
European option, finite differences      277 293
European option, implicit method      293
European option, numerical methods      261 277 293
European option, pseudo-code      333
European option, SOR algorithm      333
European option, SOR method      332
European put, binomial method      391
European put, binomial solution      392
European put, Black — Scholes formula      49
European put, boundary conditions      268
European put, Crank — Nicolson method      310
European put, delta      49
European put, explicit formula      100
European put, implicit solution      301
European put, initial condition      268
European put, numerical solution      268 281
Exercise price      1 34
Exercise strategy      58
Exotic option      15 148
Exotic option, binomial method      388 403
Exotic option, lattice methods      387
Exotic option, linear complementarity formulation      159
Exotic option, numerical solution      337
Exotic option, trinomial method      407
Expectation operator      22
Expiry      1 34
Explicit method      277 326
Explicit method, algorithm      280
Explicit method, American option      325
Explicit method, average strike      347
Explicit method, Black — Scholes equation      289
Explicit method, boundary conditions      278 280
Explicit method, convergence      278 286 289
Explicit method, convergence for Black-Scholes      289
Explicit method, efficiency      283
Explicit method, equations      278
Explicit method, European options      277
Explicit method, European put      281
Explicit method, initial condition      278 280
Explicit method, lookback put      339
Explicit method, mesh      279
Explicit method, pseudo-code      282
Explicit method, random walk      278 288
Explicit method, relation of convergence and stability      286
Explicit method, rounding error      285
Explicit method, stability      281 283 284 289
Explicit method, stability for Black — Scholes      289
Final condition      76
Finite differences      263 267
Finite differences, $\theta$-method      420; 293 312
Finite differences, accuracy      272 273 307 310 344 346
Finite differences, American average strike      353
Finite differences, American option      323 325 327
Finite differences, American option algorithm      328
Finite differences, approximation      267 274 347
Finite differences, average strike algorithm      355
Finite differences, average strike option      344 346
Finite differences, backward      269 271 273 294 306
Finite differences, Bermudan option      333
Finite differences, binomial method      279 288
Finite differences, Black — Scholes equation      289
Finite differences, boundary conditions      277 278 280 295 296 308
Finite differences, central      269—271 273 307
Finite differences, characteristics      346
Finite differences, convergence      273 274 278 286 289 293 305 310 313 335
Finite differences, convergence for Black — Scholes      289
Finite differences, Crank — Nicolson      270 293 306—308 310 312
Finite differences, dangers      289 290
Finite differences, discretisation      346
Finite differences, discretisation error      286 287 305
Finite differences, efficiency      283 294 297 301 310 339 348
Finite differences, equivalence to finite elements      416 423
Finite differences, error bounds      273 346
Finite differences, European average strike      350
Finite differences, European options      277 293
Finite differences, explicit algorithm      280 282
Finite differences, explicit equations      278
Finite differences, explicit method      270 277 306
Finite differences, for first derivatives      269 346
Finite differences, for second derivatives      271
Finite differences, forward      269 271 273 277 306 348
Finite differences, fully implicit method      293 294
Finite differences, geometric interpretation      270
Finite differences, grid      274 278 279 293 295 305 308 317 325
Finite differences, high order      346
Finite differences, implicit algorithm      301
Finite differences, implicit equations      295
Finite differences, implicit method      270 293 294 306
Finite differences, initial condition      277 278 280 295 308
Finite differences, lattice methods      279 288
Finite differences, linear complementarity problem      317 325 327 335
Finite differences, linear convergence      273
Finite differences, linear system      296 309
Finite differences, lookback put      338 339
Finite differences, LU decomposition      300 310
Finite differences, matrix      296 309
Finite differences, mesh      274 278 279 293 295 305 308 317 325
Finite differences, node      274
Finite differences, one-sided      348
Finite differences, quadratic convergence      273
Finite differences, random walk      274 278 288
Finite differences, relation of convergence and stability      286
Finite differences, relation to lattice methods      262 408
Finite differences, rounding error      285 286
Finite differences, SOR      332
Finite differences, SOR algorithm      333
Finite differences, stability      281 283 284 289 293 304 306 310 312 313 326 348
Finite differences, stability for Black — Scholes      289
Finite differences, symmetric central      272 277 294
Finite differences, symmetric difference      348
Finite differences, three-dimensional      338
Finite differences, trinomial method      279 288
Finite differences, use in finite elements      420
Finite elements      263 316 410—412
Finite elements, $\theta$-method      420
Finite elements, algorithm      423
Finite elements, American call      419
Finite elements, American option      418
Finite elements, American put      419
Finite elements, basis function      411 413 414 419 421
Finite elements, binary option      419
Finite elements, discretisation      421
Finite elements, element      413
Finite elements, equations      416
Finite elements, equivalence to finite differences      416 423
Finite elements, finite-difference approximation      420
Finite elements, grid      413
Finite elements, implementation      413
Finite elements, lumped mass integration      421
Finite elements, matrices for American options      420
Finite elements, matrix      412 415 420
Finite elements, mesh      413
Finite elements, node      413 421
Finite elements, obstacle problem      410
Finite elements, shape function      411 413 414 419 421
Finite elements, solution of equations      416
Finite elements, test function      418
Finite elements, variational inequality      411
First exit time      368
First exit time, cumulative distribution function      380
FLOOR      249
Floortion      250
Fokker — Planck equation      363
Foreign exchange option      191
Forward contract      66 74
Forward difference      269 271 277 306 348
Forward difference, accuracy      273
Forward difference, geometric interpretation      270
Forward Kolmogorov equation      363
Forward Kolmogorov equation, boundary conditions      363
Forward Kolmogorov equation, initial condition      363
Forward price      66
Forward substitution      299 301
Free boundary      107
Free boundary problem      55 106 107
Free boundary problem, numerical methods      315
Free boundary problem, obstacle problem      316
Free boundary problem, oxygen consumption problem      316
Free boundary problem, Stefan problem      110 315
Free boundary, American average strike      187
Free boundary, American call      112 325
Free boundary, American option      55
Free boundary, American put      109 325
Free boundary, binary option      325
Free boundary, linear complementarity problem      324
Fugit      375
Fully implicit method      293 294
Fundamental solution      90
Futures contract      66 69
Gamma ($\Gamma$)      64
Gearing      3
Generalised function      95
Geometric average      155
Geometric average, average rate option      193
Geometric average, continuously sampled      172 196
Green's function      102
Grid, American option      325
Grid, approximation      274
Grid, average strike      350
Grid, finite difference      278 279
Grid, finite-difference      274
Grid, finite-element      411 413
Grid, spacing      274
Grid, three-dimensional      339
Group invariance      91
Heat equation      79
Heaviside function      96
Hedging      12 63 222
Hedging, bonds      237
Implicit method      294 326
Implicit method, algorithm      301
Implicit method, American option      325
Implicit method, average strike      347
Implicit method, backward substitution      301
Implicit method, boundary conditions      295 296
Implicit method, convergence      305
Implicit method, discretisation error      305
Implicit method, efficiency      297 301
Implicit method, equations      295 296
Implicit method, European options      293
Implicit method, European put      301
Implicit method, forward substitution      301
Implicit method, initial condition      295
Implicit method, linear system      296
Implicit method, lookback put      339
Implicit method, LU decomposition      300
Implicit method, matrix      296
Implicit method, pseudo-code      303
Implicit method, stability      304
Implied volatility      65 71 147
In barrier      149
In-the-money      36
Initial condition      76
Initial condition, $\theta$-method      326
Initial condition, American call      323
Initial condition, American put      323
Initial condition, binary option      324
Initial condition, Crank — Nicolson method      308
Initial condition, European call      99 268
Initial condition, European put      268
Initial condition, explicit method      278 280
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