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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
Probability distribution, normal      21
Projected SOR      319
Projected SOR, algorithm      328
Projected SOR, American option      327
Projected SOR, American option algorithm      328
Projected SOR, average strike      354 355
Projected SOR, convergence      319 322 330 335 336
Projected SOR, obstacle problem      320
Projected SOR, pseudo-code      321
Projected SOR, stability      336
Pseudo-code, American option      331
Pseudo-code, average strike option      404
Pseudo-code, binomial method      393 396 400
Pseudo-code, Crank — Nicolson      311
Pseudo-code, European lookback      341
Pseudo-code, European option      333
Pseudo-code, explicit method      282
Pseudo-code, generalised SOR      334
Pseudo-code, implicit method      303
Pseudo-code, LU decomposition      302
Pseudo-code, projected SOR      321 329
Put option      3
Put option, American      107
Put option, payoff diagram      37
Put-call parity      40 49 68 100
Put-call parity, American option      74
Put-call parity, average strike option      185
Put-call parity, compound option      163
Random walk      23
Random walk, dividend-paying asset      136
Random walk, first exit time      368
Random walk, interest rates      237
Random walk, lognormal      23 28 41
Random walk, realisation      23
Random walk, trinomial      359
Reaction      114
Realisation      23
Rebate      155 164 219
Reduction of order      117
Relaxation parameter      330
replenishment      114
RETURN      20
rho ($\rho$)      65
Risk      4 5
Risk neutrality      52 71 365
Risk neutrality, binomial method      388
Risk neutrality, lattice methods      385
Risk neutrality, option valuation under      366
Risk neutrality, pitfalls      366
Risk neutrality, trinomial method      406
Risk, market price of      239
Risk, specific      5
Risk, systematic      5
Risk-free investment      4
Rounding error      281 285 286
Russian option      218
Russian option, explicit solution      219
Sampling, continuous      161 171
Sampling, discrete      161
Shape function      411 413 419
Shape function, definition      413
Shape function, formula      414 421
Short position      11
Similarity solution      73 89 91 214
Similarity solution, American call      116
Smile      66
SOR      319 332
Spot rate      236
Spot rate, mean-reverting      241 245
Spot rate, volatility      245
Spread, bid-offer      9 222
Spread, butterfly      72 228
Spread, calendar      38
Spread, vertical      38 228
Stability      263 281 286
Stability, $\theta$-method      313
Stability, American option      326
Stability, Black — Scholes equation      289
Stability, Crank — Nicolson      310 312
Stability, explicit method      281
Stability, finite differences      306
Stability, implicit method      304
Stability, projected SOR      336
Stability, relation to convergence      283 286 289
Stefan Problem      120 315
Stochastic differential equation      21
Stochastic differential equation, exotic option      157
Stochastic differential equation, interest rates      237
Stochastic integration      30
Stop-loss option      219
Stop-loss option, explicit solution      220
Straddle      72
Strike price      1
Supershare      151
Swap      248
Swaption      250
Symmetric central difference      272 277 294 317
Technical indicator      375 377
Term structure, interest rate      235
Term structure, volatility      66
Test function      410
Test function, basis function      411
Test function, finite elements      418
Test function, for American call      133
Test function, for American put      129
Test function, for delta function      96
Test function, for obstacle problem      125
Test function, restrictions in finite elements      411
Test function, shape function      411
Theta ($\Theta$)      65
theta method ($\theta$-method), application in finite elements      420
theta method ($\theta$-method), convergence      313
theta method ($\theta$-method), stability      313
Time value      36
Transaction costs      42 64 222
Transition density function      358
Transition density function, backward problem      359
Transition density function, boundary conditions      364
Transition density function, forward problem      359 362
Trinomial method      262 387 406
Trinomial method, American put      408
Trinomial method, efficiency      407
Trinomial method, exotic options      407
Trinomial method, jump size      406
Trinomial method, probability      406
Trinomial method, relation to binomial method      406
Trinomial method, relation to finite differences      279 288
Trinomial method, risk neutrality      406
Trinomial walk      359 377
Trinomial walk, mean and variance      361
Two-factor model      147 252
Underlying      1
Underlying asset      1
Variational inequality      316
Variational inequality, American call      133
Variational inequality, American put      127 130
Variational inequality, elliptic      130
Variational inequality, existence and uniqueness      131
Variational inequality, finite-element solution      316 411
Variational inequality, matrix form      412
Variational inequality, numerical approximation      412
Variational inequality, obstacle problem      125 126
Variational inequality, parabolic      127 128 130
Vega      65
Vertical spread      38
Vertical spread, with transaction costs      228
Volatility      21 34 41
Volatility, implied      65 66 71 147
Volatility, index      147
Volatility, known function of time      144
Volatility, spot rate      245
Volatility, stochastic      147
Volatility, term structure      66
Volatility, trading      147
Volatility, yield curve slope      245
Warrants      69 72
Weak formulation      130
Wiener process      21 29
writer      1 10
Yield curve      235 246
Yield curve, decreasing      235
Yield curve, fitting parameters      243
Yield curve, humped      235
Yield curve, increasing      235
Yield curve, volatility of slope      245
Zero-coupon bond      232
1 2 3 4
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