|
|
 |
| Авторизация |
|
|
|
| Поиск по указателям |
|
|
|
|
|
|
|
 |
|
|
|
| Wilmott P., Bowison S., DeWynne J. — Option Pricing: Mathematical Models and Computation |
Обсудите книгу на
Нашли опечатку?
Выделите ее мышкой и нажмите Ctrl+Enter
|
Название: Option Pricing: Mathematical Models and Computation
Авторы: Wilmott P., Bowison S., DeWynne J.
Язык: 
Рубрика: Математика/
Статус предметного указателя: Готов указатель с номерами страниц
ed2k:
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
|
|
|
| Предметный указатель |
Initial condition, finite differences 277 278 295
Initial condition, implicit method 295
Initial condition, lookback put 338
Initial value problem 81
Instability 281 286
Instability, illustration 284
Instalment option 73
Interest rate 15 34 41
Interest rate, cap 249
Interest rate, caption 250
Interest rate, floor 249
Interest rate, floortion 250
Interest rate, known function of time 144 233
Interest rate, nonnegative 241
Interest rate, random walk for 237
Interest rate, spot rate 236
Interest rate, stochastic 236
Interest rate, swap 248
Interest rate, swaption 250
Interest rate, term structure 235
Interest rates, stochastic 256
Interpolation 291 342
Interpolation, accuracy 344
Interpolation, jump conditions 343
Intrinsic value 36
Ito's lemma 26 42 157 237 256 376
Jump condition 138 142
Jump condition, discrete dividend 139
Jump condition, discrete sampling 162 174
Jump condition, in numerical method 337
Jump condition, interpolation for 343
Jump condition, lookback option 210
Kolmogorov equation 361
Kolmogorov equation, backward 372
Kolmogorov equation, forward 363
Lattice methods 262 384
Lattice methods, American options 387
Lattice methods, binomial 387
Lattice methods, common fallacy 387
Lattice methods, delta 386
Lattice methods, dividends 387
Lattice methods, efficiency 387
Lattice methods, exotic options 387 388
Lattice methods, reconnecting lattice 390
Lattice methods, relation of binomial and trinomial 406
Lattice methods, relation to finite differences 262 279 288 408
Lattice methods, risk neutrality 385
Lattice methods, tree-structure 385
Lattice methods, trinomial 387 406
Linear complementarity problem 124 316
Linear complementarity problem, advantages 324
Linear complementarity problem, American call 133 324
Linear complementarity problem, American put 128 324
Linear complementarity problem, average strike 355
Linear complementarity problem, convergence 335
Linear complementarity problem, discretisation 325 327
Linear complementarity problem, exotic options 159
Linear complementarity problem, finite differences 325 327
Linear complementarity problem, lookback option 209
Linear complementarity problem, matrix form 318 328
Linear complementarity problem, obstacle problem 124 316
Linear system 296
Lognormal distribution 23 364
Long position 11
Lookback option 15 150 156 201
Lookback option, American 204 207
Lookback option, Black — Scholes inequality 206
Lookback option, continuous sampling 203
Lookback option, discrete sampling 209
Lookback option, explicit formulae 207
Lookback option, jump conditions 210
Lookback option, linear complementarity formulation 209
Lookback option, payoff 206
Lookback option, payoff for American 207
Lookback option, pseudo-code 341
Lookback option, put 201
Lookback option, rate 202
Lookback option, strike 202
LU decomposition, pseudo-code 302
Margin 10 64
Margin requirement 69
Market portfolio 13
Market price of risk 239
Market price of risk, assets 239
Market price of risk, convertible bond 258
Markov process 20
Markov property 24
Matrix, backward substitution 299 301
Matrix, Crank — Nicolson method 309
Matrix, diagonal 421
Matrix, diagonally dominant 297 299 310
Matrix, finite-element 412 415 420
Matrix, forward substitution 299 301
Matrix, implicit method 296
Matrix, invertible 296 297 310
Matrix, linear complementarity problem 318 328
Matrix, lower triangular 299
Matrix, LU decomposition 297—300
Matrix, projected SOR 328
Matrix, strictly diagonally dominant 297
Matrix, symmetric 412
Matrix, tridiagonal 297 300 421
Matrix, upper triangular 299
Maturity date 232
mesh 274
Mesh, American option 325
Mesh, approximation 274
Mesh, average strike 350
Mesh, finite difference 274
Mesh, finite-difference 274
Mesh, finite-element 411 413
Mesh, natural 289
Mesh, spacing 274
Mesh, three-dimensional 339
Method of images 166
Modern Portfolio Theory (MPT) 13
Monte Carlo method 262
Moving average, crossing of two 381
Moving average, exponentially weighted 376
Moving average, first exit time for 377
Moving average, scaled 376
Node, finite-difference 274
Node, finite-element 413 421
Normal distribution 22 52
Numerical methods 261
Numerical methods,  -method 293 312
Numerical methods, American average strike 353
Numerical methods, American call 333 336
Numerical methods, American option 315 323 325 418
Numerical methods, American option algorithm 328
Numerical methods, American put 333
Numerical methods, approximation 263
Numerical methods, average strike algorithm 355
Numerical methods, average strike option 337 344 346
Numerical methods, backward substitution 299 301
Numerical methods, Bermudan option 333
Numerical methods, binary option 268
Numerical methods, binomial method 262
Numerical methods, Black — Scholes 267
Numerical methods, boundary conditions 278 280 308
Numerical methods, characteristics 346
Numerical methods, convergence 263 278 289 305 313 335
Numerical methods, convergence for Black — Scholes 289
Numerical methods, convergence problem 263
Numerical methods, Crank — Nicolson 270 293 306-
Numerical methods, dangers 261 274 289 290
Numerical methods, diffusion equation 267
Numerical methods, discretisation 263
Numerical methods, discretisation error 286 287
Numerical methods, efficiency 263 283 294 297 301 310 332 339 348
| Numerical methods, error analysis 264
Numerical methods, European average strike 350
Numerical methods, European call 268
Numerical methods, European options 277 293
Numerical methods, European put 268 281
Numerical methods, exotic options 337
Numerical methods, explicit algorithm 280 282
Numerical methods, explicit equations 278
Numerical methods, explicit method 270 277 286
Numerical methods, finite differences 267
Numerical methods, finite elements 410 418
Numerical methods, finite-difference mesh 274 278 279
Numerical methods, forward substitution 299 301
Numerical methods, free boundary problems 315
Numerical methods, fully implicit method 293 294
Numerical methods, general considerations 262 264
Numerical methods, implicit algorithm 301
Numerical methods, implicit equations 295
Numerical methods, implicit method 270 293 294
Numerical methods, initial condition 278 280 308
Numerical methods, interpolation 291
Numerical methods, jump conditions 337
Numerical methods, lattice and finite differences related 408
Numerical methods, lattice methods 262 384
Numerical methods, linear complementarity problem 325
Numerical methods, lookback put 338
Numerical methods, LU decomposition 297—299 310 352
Numerical methods, Monte Carlo 262
Numerical methods, obstacle problem 316 320 410
Numerical methods, path-dependent options 337
Numerical methods, projected SOR 319 327
Numerical methods, projected SOR algorithm 319 320
Numerical methods, relation of convergence and stability 286
Numerical methods, relaxation parameter 330
Numerical methods, rounding error 285 286
Numerical methods, SOR 319 332
Numerical methods, SOR algorithm 333
Numerical methods, stability 263 281 283 284 289 304 313 326 348
Numerical methods, stability of Black — Scholes 289
Numerical methods, test function 411
Numerical methods, trinomial method 262 406
Numerical methods, variational inequality 411
Obstacle problem 55 123
Obstacle problem, classical formulation 124
Obstacle problem, discretisation 317
Obstacle problem, finite differences 317
Obstacle problem, finite elements 410
Obstacle problem, linear complementarity formulation 124 316
Obstacle problem, matrix 318
Obstacle problem, numerical methods 316 317 320
Obstacle problem, projected SOR 319 320
Obstacle problem, variational inequality formulation 125 410
Optimal exercise boundary, American call 113 335
Optimal exercise boundary, American put 109 324
Optimal exercise boundary, local analysis 115
Optimal exercise price 55 107
Optimal exercise price, American call 107 118
Option, American 14 54 319 323 324
Option, American call 110 323 333
Option, American cash-or-nothing call 62 324
Option, American put 107 323 333
Option, as-you-like-it 154
Option, Asian 15 150 155 170
Option, asset-or-nothing 163
Option, average rate 193
Option, average strike 155 337 403
Option, barrier 15 149 150 164
Option, Bermudan 333
Option, binary 37 38 148 150 268 324
Option, bond 248
Option, call 3
Option, cash-or-nothing call 37 151 268
Option, chooser 150 154
Option, cliquet 150
Option, compound 150 152
Option, delta 64
Option, digital 38 148 150
Option, down-and-out 149
Option, European 14
Option, exchange 150
Option, exotic 15 148 337
Option, finite element formulation 419
Option, foreign exchange 191
Option, gamma 64
Option, instalment 73
Option, ladder 150
Option, lookback 15 150 156 201
Option, lookback call 338
Option, lookback put 338
Option, lookback rate 202
Option, lookback strike 202
Option, over-the counter (OTC) 9
Option, over-the-counter (OTC) 149
Option, path-dependent 15
Option, perpetual 218
Option, perpetual barrier 169
Option, present value 365
Option, put 3
Option, range forward 150
Option, rho 65
Option, Russian 218
Option, stop-loss 219
Option, theta 65
Option, two-colour rainbow 150
Option, vanilla 10
Option, vega 65
Option, writer 1 10
Order notation 30
Out barrier 149
Out-of-the-money 36
Over-the-counter (OTC) 149
Parabolic equation 45 80
Parabolic equation, backward 46 361
Parabolic equation, final condition 46
Parabolic equation, forward 46
Parabolic equation, initial value problem 81
Parameter estimation 25
Partial differential equation, boundary conditions 45
Partial differential equation, characteristics 78
Partial differential equation, elliptic 83
Partial differential equation, final condition 76
Partial differential equation, first order 75 77
Partial differential equation, hyperbolic 83 346
Partial differential equation, initial condition 76
Partial differential equation, initial value problem 81
Partial differential equation, parabolic 45 80 83 346
Partial differential equation, second order 75
Partial differential equation, similarity solution 89
Partial differential equation, well-posed problem 76
Path-dependent option 15 148
Path-dependent option, Black — Scholes equation 157
Path-dependent option, numerical methods 337
Payoff diagram, butterfly spread 72
Payoff diagram, call option 36
Payoff diagram, cash-or-nothing call 37
Payoff diagram, put option 37
Payoff diagram, straddle 72
Payoff diagram, various definitions of 36
Payoff, American lookback option 207
Payoff, American path-dependent option 158
Payoff, average strike call 158
Payoff, lookback option 206
Perpetual option 218
Portfolio, efficient 13
Portfolio, market 13
Present value 16
Probability distribution, asset 358
Probability distribution, cumulative 372
Probability distribution, first exit time 374
Probability distribution, lognormal 364
|
|
|
| Реклама |
|
|
|
|
|
|
|
|
О проекте