Java Quant

            Financial Quantitative Algorithms

Financial Quantitative Algorithms

    Here are analyzed some of the One factor Interest rate derivatives on Zero Coupon Bonds, using the Monte Carlo technique. You will be able to analyze the Price of the Zero Coupon Bond as a function of maturity, the short term interest rate as a function of time and the price of european call and puts written on the Bond.

 

MC on Interest Rate Derivatives (One factor Models) for Zero Coupon Bonds

 

Analytic expression Vasicek on European Call and Put MC Bond Pricer
Monte Carlo method Vasicek on European Call and Put MC Bond Pricer
Monte Carlo method Cox Ingersoll Ross on European Call and Put MC Bond Pricer
Monte Carlo method Rendleman Barter on European Call and Put MC Bond Pricer

 


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