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Table Of Contents

2.1 Background
2.2 Definitions
2.3 A Simple Example: The Two State Tree
2.6 Geometric Brownian motion with drift
2.6.2 Some uses of Ito’s Lemma
2.6.3 Some more uses of Ito’s Lemma
2.7 The Black-Scholes Analysis
2.8 Hedging in Continuous Time
2.9 The option price
2.10 American early exercise
3 The Risk Neutral World
4 Monte Carlo Methods
4.1 Monte Carlo Error Estimators
4.2 Random Numbers and Monte Carlo
4.3 The Box-Muller Algorithm
4.3.1 An improved Box Muller
4.4 Speeding up Monte Carlo
4.5 Estimating the mean and variance
4.6 Low Discrepancy Sequences
4.7 Correlated Random Numbers
4.8 Integration of Stochastic Differential Equations
4.8.1 The Brownian Bridge
4.8.2 Strong and Weak Convergence
4.9 Matlab and Monte Carlo Simulation
5 The Binomial Model
5.1 A No-arbitrage Lattice
6 More on Ito’s Lemma
7 Derivative Contracts on non-traded Assets and Real Options
7.1 Derivative Contracts
7.2 A Forward Contract
7.2.1 Convenience Yield
8 Discrete Hedging
8.1 Delta Hedging
8.2 Gamma Hedging
8.3 Vega Hedging
9 Jump Diffusion
9.1 The Poisson Process
10.1 Special Cases
10.2 The Portfolio Allocation Problem
10.3 Adding a Risk-free asset
10.4 Criticism
10.5 Individual Securities
11 Stocks for the Long Run?
12 Further Reading
12.1 General Interest
12.2 More Background
12.3 More Technical
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Introduction to Computational Finance

Introduction to Computational Finance

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Published by Spacefluffer

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Published by: Spacefluffer on Mar 15, 2011
Copyright:Attribution Non-commercial


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Ryan Gordon added this note
This is quite a long article. I found MATLABs monte carlo page a bit more concise although not nearly as comprehensive. http://www.mathworks.com/discovery/mo...
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