Browse By

Tag Archives: Computational Finance

No Thumbnail

Finance Training Videos – The Online Quant Crash Course comes to town – Quantitative Training for the non-Quant.

If you have ever been in love with a spreadsheet or a pricing model; or hated your 18th run of Hull without understanding a word of it; or needed a spiffy answer to a question posed by our beloved Howard Corb, just so that you can make the right impression, the Online Quant Crash Course (for the non Quant?) is for you. Rather than limiting ourselves to PDF and excel files we decided to play with Finance Training Videos, the new home for online video based quantitative training.

No Thumbnail

Interest Rate Modelling Posts Index

INTEREST RATE MODELLING Interest Rate Modelling: Introduction Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Introduction Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Estimating Parameters & Calibrating the CIR Model Interest Rate Forecasting: Using CIR (Cox Ingersoll Ross) Model: Simulating the term

No Thumbnail

Interest Rate Models: Steps for building Black, Derman and Toy (BDT) model in Excel: Define Calculation Cells: Construct State Price Lattices

In this post we continue with the definition of the calculation cells of the Black-Derman-Toy (BDT) model in EXCEL. Three state prices lattices are constructed. Define Calculation Cells b. Construct State Price Lattices The BDT model assumes that the short-term interest rates are log-normally distributed

Comodo SSL