Search results
Results From The WOW.Com Content Network
The binomial model was first proposed by William Sharpe in the 1978 edition of Investments (ISBN 013504605X), [2] and formalized by Cox, Ross and Rubinstein in 1979 [3] and by Rendleman and Bartter in that same year. [4] For binomial trees as applied to fixed income and interest rate derivatives see Lattice model (finance) § Interest rate ...
Rubinstein was a senior and pioneering academic in the field of finance, focusing on derivatives, particularly options, and was known for his contributions to both theory and practice, [5] especially portfolio insurance and the binomial options pricing model (also known as the Cox-Ross-Rubinstein model), as well as his work on discrete time ...
Least Square Monte Carlo is a technique for valuing early-exercise options (i.e. Bermudan or American options).It was first introduced by Jacques Carriere in 1996. [12]It is based on the iteration of a two step procedure:
This free software had an earlier incarnation, Macsyma. Developed by Massachusetts Institute of Technology in the 1960s, it was maintained by William Schelter from 1982 to 2001. In 1998, Schelter obtained permission to release Maxima as open-source software under the GNU General Public license and the source code was released later that year ...
In mathematical finance, the Cox–Ingersoll–Ross (CIR) model describes the evolution of interest rates. It is a type of "one factor model" (short-rate model) as it describes interest rate movements as driven by only one source of market risk. The model can be used in the valuation of interest rate derivatives.
Binomial options pricing model From an alternative name : This is a redirect from a title that is another name or identity such as an alter ego, a nickname, or a synonym of the target, or of a name associated with the target.
Genius (also known as the Genius Math Tool) is a free open-source numerical computing environment and programming language, [2] similar in some aspects to MATLAB, GNU Octave, Mathematica and Maple. Genius is aimed at mathematical experimentation rather than computationally intensive tasks. It is also very useful as just a calculator.
Ross is best known for the development of the arbitrage pricing theory (mid-1970s) as well as for his role in developing the binomial options pricing model (1979; also known as the Cox–Ross–Rubinstein model). He was an initiator of the fundamental financial concept of risk-neutral pricing.