Financial Quantitative Algorithms
below you will find the some sources of the sources in C++ and Java.T
Table with C++ sources
| Closed expressions and Approximate Models for various Financial Option on Equity |
| Binary Tree method to Price Options on Equity |
| Monte Carlo pricer of Exotics |
| Monte Carlo Pricer of American Calls and Puts |
| Monte Carlo Pricer of European Barrier, Knock in and out Options |
| Monte Carlo Pricer European Spread Options |
| Monte Carlo Pricer of Interest Rate Derivatives (One factor) |
| Monte Carlo Pricer Ho Lee Model |
| Monte Carlo Pricer Hull White Model |
| Monte Carlo Pricer Black Derman Toy Model |
| Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model |
| Monte Carlo pricer of exotics with constant Jump-Diffussion |
| Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion |
| Monte Carlo Pricer European Spread Options with Jump-Diffusion |
Table with Java sources
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