A Workout in Computational Finance

Index

1D elements, finite element methods 86-8, 98, 107-9, 111-13

2D elements, finite element methods 88-90, 93-104, 109, 112-14

3D elements, finite element methods 98, 100, 109-10, 114-15

3D IR/FX models, Bermudan callable steepener cross-currency swaps 189-91

9/11 196

acceptance-rejection methods, random number generators 154-6, 160

accompanying software 4

accrued interest 73

Acklam algorithm 157

advanced equity models 3, 193-207

advanced Monte Carlo techniques 3, 5, 161-77

see also Monte Carlo . . .

advancing (moving) unstructured-mesh generation algorithm 84-5

algebraic multigrid methods (AMGs) 126-7

Amdahl’s law 287-8

American options 3, 7-8, 12, 15, 179-91, 202-7

see also Bermudan . . .

definition 7-8, 179

Monte Carlo simulations 179-91

prices 3, 179-91, 202-3

amplification matrices 37-8

analytical solutions 14-15, 52-3, 58-9, 168, 206, 262-4

see also Black-Scholes PDE

annual compounding 39-40

antithetic variates, Monte Carlo simulations 161-3

APIs (application programming interfaces) 285-95

Apple 7

approximation tools 24-9, 43-5, 58-70, 81-115, 133-4, 145-6, 156-60, 180-91, 209-16, 257

see also backward difference...; central difference...; forward difference...

arbitrage 2, 9, 11, 13-14, 21, 45-6, 194-6

Archimedean copulas 222, 223-9, 231-4

see also Clayton...; Frank...; Gumbel...

arithmetic Asian options 164-6

artificial boundary conditions 2, 77-9, 210-16

Asian (arithmetic average rate) options 71-2, 164-6

asset allocations 253

asymptotic analysis 145-6

see also approximation ...