List of Tables
2.1 Built-in data types in C#
7.1 Associative matrix presented in Excel
9.1 Binomial method output
9.2 Basket put, T = 0.95, NT = 500
9.3 Basket put, T = 0.05, NT = 500
9.4 Padé table for exp ( − z)
9.5 Option pricing with Padé approximants
10.1 Accuracy of ADE, put option
10.2 Accuracy of ADE, call option
10.3 Stress-testing ADE, put option
10.4 Convection-dominated problems
10.5 Testing the CEV model, put option
10.6 Calculating sensitivities
10.7 Early exercise, σ = 0.3 , r = 0.06
10.8 Early exercise, σ = 0.5 , r = 0.12
10.9 Comparison with online calculator
10.10 ADE improving accuracy
10.11 Comparison of FDM methods
10.12 Implicit Euler, early exercise
14.1 Option market prices
15.1 Calibration: difference between recalculated quotes and market value
15.2 Case test: shifting input data
15.3 Sensitivities representation
16.1 Sensitivity calculation
17.1 Calculating cap price using caplet volatilities
17.2 Multi-strike cap
17.3 Amortising cap
17.4 Example of cap volatility matrix
19.1 Worksheet with column names
19.2 Worksheet without column names
A2.1 Starting values
A2.2 Forward rate
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