Financial Methods: A Quantitative Approach

Rossano Giandomenico

MPRA Paper from University Library of Munich, Germany

Abstract: The study analyses finite difference methods and stochastic volatility for option pricing model till Asian and Barrier options. Simulated result is presented with VBA code. The interest rate models is analyzed in arbitrage setting e simulated environment by using an affine term structure and the drift condition in combination with inflation model by measuring the liquidity and risk premium by presenting an efficient Monte Carlo simulator. Structural Model is presented in single time maturity and default barrier in first passage model. The intensity model is also faced by analyzing the liquidity e risk premium with copula approaches as well

Keywords: Contingent Claim; Interest Rate Models; Credit Risk Models (search for similar items in EconPapers)
JEL-codes: C02 C1 C15 (search for similar items in EconPapers)
Date: 2015-10
New Economics Papers: this item is included in nep-ore
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https://mpra.ub.uni-muenchen.de/71919/1/MPRA_paper_71919.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/73884/8/MPRA_paper_73884.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/96160/1/MPRA_paper_96160.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71919

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