Models

Tom Hyer
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Tom Hyer: UBS, United Kingdom

Chapter 13 in Derivatives Algorithms:Volume 1: Bones, 2010, pp 245-272 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Vasicek-Hull-WhiteParametrizationModel ContentsInterface to Numerical PricingInterface to Valuation RequestsIndex PathsEfficiencyBack to LiborCox-Ingersoll-RossBlack-KarasinskiForward Induction PDE SweepSingle Equity with Local VolInterpolated VolDerivation from Implied VolModel and SDEA Simple Hybrid ModelThe Case for ComponentsState Bounds Checks

Keywords: Derivatives; Algorithms; Coding; Protocols; Interfaces; Persistence; Indices; Underdetermined; Multiple Dispatch; Code Generation; Extensibility (search for similar items in EconPapers)
Date: 2010
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