| Date | Link | Description
| | Example 1 |
An example of a paper written for the course. |
| 01/19 |
vba_examples2.xls | Spreadsheet containing VBA
examples. | |
| 5/23 | Bonds05.xls | Spreadsheet with bond
examples. | |
| 05/10 | outperform_vol.pdf | Deriving
the price of an outperformance option using change of
numeraire | |
| 4/11 | vba_example.xls | VBA
Tutorial spreadsheet | |
| 04/04/06 | northwestern.ppt | New product talk by Joe Levin,
CBOE | |
| 03/09/05 | credit.xls | Credit models | |
| 03/02/05 | garch.xls | Spreadsheet demonstrating
calculation of GARCH(1,1) model. | |
| 2/09/05 | volatility.xls | Spreadsheet demonstrating
calculation of CBOE VIX and variance swap. | |
| 2/09/05 | Paper | on American
option valuation using Monte Carlo, by Longstaff and Schwartz | |
| 01/12/05 | lognorm3.xls | Lognormal and Monte
Carlo calculations | |
| 01/20/05 | Spreadsheet | Performs
Longstaff-Schwartz put valuation (from Wilmott.com,
provided by Alexios Ghalanos) | |
| 5/6 | vix_cboe_wp.pdf | VIX white paper
from the CBOE. | |
| 4/19 | stochproc.pdf | Notes on Brownian
motion and
stochastic integration. | |
| 5/6 | vol_swaps_goldman.pdf | Goldman
research paper on
volatility. | |
| 5/24 | TRAC-X Presentation
| (Morgan Stanley) | |
| 5/24 | KMV White paper
| on credit risk | |
| 5/24 | Correlation
| (Morgan Stanley product note) | |
| 1/20 | jumps.xls | The poisson distribution |
|
| 2/10 | Solutions... | to
even-numbered problems in the book |
|
| 2/24 | Donsmith.doc | Paper showing that
duration can be decreasing in maturity |
| 2/24 | Bliss_termstructure.pdf | Paper
on bond risk, discussing duration and the three factor
model. |
| 2/27 | Quanto_hedge.pdf | A three-page
write up discussing the delta-hedging (and a little more
about pricing) lof a quanto
contract. |
| 3/3 | NYT
March 2 | Article about American Barrick's gold-hedging
program. |
| 3/3 | bdt.xls | Spreadsheet that
constructs BDT interest rate trees from yields and
volatilities. |
| 3/10 | schwartz_moon.m | Matlab program
that performs Schwartz-Moon valuation (may have bugs!
Please report them if you find them!) |
| 3/10 | Coke and
options | Coke intended to use dealer quotes to value
compensation options and it turns out the dealers use
Black-Scholes! |
| 3/10 | risk_assessment.xls | Examples
related to Chapter 24. Warning: this is large (~3mb). |