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Index

$\gamma$
Gamma
$\theta$
Theta
$\rho$
Rho
Barone-Adesi and Whaley
A quadratic approximation to
binomial option price
Binomial option pricing.
Black
futures option
Black's model
bond
Bond Algoritms.
price
Bond Price.
yield
Yield to maturity.
bond option
Black Scholes
Black Scholes bond pricing.
Vasicek
Vasicek bond pricing.
Brown and Dybvig
The estimated CIR model
cash flow
Cash flow algoritms.
CIR
estimated
The estimated CIR model
class
The class concept.
Cox Ingersoll Ross, see CIR
The estimated CIR model
currency
Foreign Currency Algoritms
option
Foreign Currency Options
currency option
American
American options.
European
European options.
delta
Delta
binomial
Delta
duration
Duration.
Macaulay
Macaulay Duration
modified
Modified Duration
simple
Simple duration.
early exercise premium
A quadratic approximation to
exotic option
Exotic options.
exp() (C++ statement)
Exponentiation.
explicit finite differences
Computer algoritm, explicit finite | Computer algoritm, explicit finite
finite differences
Finite Differences
American
American Options.
explicit
Computer algoritm, explicit finite | Computer algoritm, explicit finite
implicit
Computer algoritm, implicit finite | Computer algoritm, implicit finite
for (C++ statement)
The form of the
futures
option
Options on futures
gamma
Gamma
geometric Brownian motion
Setup.
Geske and Johnson
An approximation to the
hedging parameters
Black Scholes
Partial derivatives.
implicit finite differences
Computer algoritm, implicit finite | Computer algoritm, implicit finite
implied volatility
calculation
Implied Volatility.
include (C++ statement)
The #include construct.
internal rate of return
Internal rate of return.
introduction
Introduction.
irr
Internal rate of return.
unique
Check for unique irr.
Jump Diffusion
Merton's Jump diffusion model.
libraries
programming
Libraries.
lookback option
Lookback options.
Merton
Jump Diffusion
Merton's Jump diffusion model.
modified duration
Modified Duration
np
Present value.
option
currency
Foreign Currency Options
exotic
Exotic options.
futures
Options on futures | Black's model
lookback
Lookback options.
option price
binomial
Binomial option pricing.
simulated
Simulation
partial derivatives
binomial
Estimating partials.
Black Scholes
Computer algorithm, Black Scholes
partials
Black Scholes
Partial derivatives.
pow() (C++ statement)
Exponentiation.
present value
Present value.
quadratic approximation
A quadratic approximation to
rho
Rho
simulation
Simulation
general
A general approach to
theta
Theta
unique irr
Check for unique irr.
vega
Vega
volatility
implied
Implied Volatility.

next up previous contents
Next: Bibliography Up: Financial Numerical Recipes. Previous: Acknowledgements.   Contents
Bernt Arne Odegaard
1999-09-09