Java Quant

            Financial Quantitative Algorithms

Financial Quantitative Algorithms

    Below you will find the programs which allows you to try the calculations by your own. The programs calculate values for Options on Equity, Interest Rate, Bonds, Futures/Forwards and so on, based on several tecniques like Monte Carlo, Binary Trees, Finite Differences and others.

    Some of the programs have built-in graphics, based on a class library called Jcckit.

    Finally the programs were not exhaustively compared to known results. Write me an email if you detect something funny.

 

Table with Main Java Applets

 

Closed expressions and Approximate Models for various Financial Option on Equity Analytic Pricer
Binary Tree method to Price Options on Equity Binary Tree
Monte Carlo pricer of Exotics MC Option
Monte Carlo Pricer of American Calls and Puts MC American
Monte Carlo Pricer of European Barrier, Knock in and out Options MC Barrier
Monte Carlo Pricer European Spread Options MC Spread
Monte Carlo Pricer of Interest Rate Derivatives (One factor) MC Zero Coupon Bond
Monte Carlo Pricer Ho Lee Model MC Ho Lee
Monte Carlo Pricer Hull White Model MC Hull White
Monte Carlo Pricer Black Derman Toy Model MC BDT
Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model MC BGM
Monte Carlo pricer of Exotics with constant Jump-Diffusion MC Jump Exotics
Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion MC Jump Barrier
Monte Carlo Pricer European Spread Options with Jump-Diffusion MC Jump Spread
   
   

 

www.javaquant.net © 2006 H. Aliaga. Design by Cesar.
XHTML 1.0 Strict