Java Methods for Financial Engineering : Applications in Finance and Investment (Paperback, Softcover reprint of hardcover 1st ed. 2007)

INTRODUCTION.- Numerical Accuracy& Errors.- Core math's Classes.- Root Finding - Interval Bisection.- Newton's method.-STATISTICAL CLASSES.- Measures of Dispersion.- APPLICATION CLASSES.- Internal Rate of Return.- Deriving yield approximations- Bisection method.-Deriving yield approximations -the Newton-Raphson method.- Porfolio management. Porfolio Risk measurement.-INTEREST RATE CALCULATIONS.- Compounding interest.- Nominal and effective interest.- PRESENT VALUE (PV).-Compounding cashflows.-Perpetuiy and Annuity.INTERNAL RATE of RETURN.- TERM STRUCTURES.-Rate Interchanges.- Spot Rates.- Deriving the Spot Curve.-BONDS.-BONDS - Fixed Interest.-BOND PRICES.-STATIC SPREAD.-CREDIT SPREADS.-BOND VOLATILITY MEASURES.-Price value of a basis point.-BOND PRICING CHARACTERISTICS.-DURATION.-MacAULAY DURATION.-EFFECTIVE DURATION.-FUTURES.-FORWARD & FUTURES PRICING.-FORWARD PRICE.-PRICING ON DIFFERENT MARKETS.-Stock Index.-Currencies.-COMMODITY FUTURES.-OPTIONS.-OPTION TYPES.-OPTION SPECIFICATIONS.-PRICING SPECIFICATION.-Dividends and Stock Splits.-Option Quotes.-Margin accounts.-ARBITRAGE IN OPTION PRICES.-Main components of pricing.-Limits for pricing.-EARLY EXERCISE of AMERICAN OPTIONS.-OPTION CONVEXITY.-PUT CALL PARITY.-STRATEGIES.-Hedge with a protected put.-Reverse protected put hedge.-Hedge with a covered call.-Reverse covered call hedge.-PROFIT DIAGRAMS.-MODELLING STOCK PRICES.-THE STOCHASTIC PROCESS.-Random Walks.-Brownian Motion.-Wiener Process.-IIto Differential.-LOGNORMAL MODELLING OF STOCK PRICES.-Handling Empirical data.-Simulation with Monte Carlo.-THE LOGNORMAL PROPERTY.-BINOMIAL MODEL.-STOCK PRICE.-Cox Ross Rubinstein (CRR) Model.-Binomial Tree.-TREES for AMERICAN & EUROPEAN PRICING.-ANALYTICAL OPTION PRICING METHODS.-BLACK-SCHOLES-MERTON.-PRICING with BLACK-SCHOLES.-Pricing without dividends.-Effects of Dividends.-Options Paying a Yield.-Stock Index Options.-Options on Futures.-Currency Options.-ANALYTICAL APPROXIMATIONS for AMERICANOPTIONS.-Roll Geske Whaley (RGW) Approximation.-Bjerksund and Stensland (B&S) Approximation.-Quadratic Approximation (Barone-Adesi Whaley derivation).-SENSITIVITY MEASURES (The 'GREEKS').-THE BLACK-SCHOLES PDE.-DELTA SENSITIVITY.-GAMMA SENSITIVITY.-THETA SENSITIVITY.-VEGA SENSITIVITY.-RHO SENSITIVITY.-OPTION EXTENSIONS.-Elasticity.-Cost of Carry.-INTEREST RATE DERIVATIVES.-MARKET PRICE of RISK.-MARTINGALES.-INTEREST RATE CAPS & FLOORS.-SWAP OPTIONS.-Adjusting rates for Convexity.-Zero coupon Bond as the asset.-Valuation of Bond Options.-SHORT RATE MODELLING.-Rendleman and Bartter.-The Vasicek Model.- Cox Ingersoll Ross (C.I.R) model.-ARBITRAGE FREE MODELS.-The Ho and Lee Model.-Hull and White model.-CONDITIONAL OPTIONS.-EXECUTIVE STOCK OPTIONS.-Forward Start Option.- Indexed stock options.-TIME SWITCH OPTION.-CHOOSER OPTION.-Simple Chooser.-Complex Chooser Options.-OPTIONS on OPTIONS.-Call on Call.-Put on Call.-EXTENDIBLE OPTIONS.-Extendible Call.-Extendible Put.-WRITER EXTENDIBLE.-RAINBOW OPTIONS.-Two Asset Correlated.-Exchange Assets Option.-American exchange option.-SEQUENTIAL EXCHANGE OPTIONS.-COMPLEX CONDITIONAL OPTIONS.-LOOK BACK OPTIONS.-Fixed Strike Look back call.-Fixed Strike Lookback Put.-FLOATING STRIKE LOOK BACK OPTIONS.-Floating Strike Lookback Put.-Floating Strike Lookback Call.-PARTIAL TIME FIXED STRIKE LOOK BACK.-Partial Time Fixed Strike Call.-Partial Time Fixed Strike Put.-PARTIAL TIME FLOATING STRIKE LOOK BACK.-Partial Time Floating Strike Call.-Partial Time Floating Strike Put.-MIN or MAX of TWO RISKY ASSETS.-Minimum of Two Risky Assets.-Maximum of Two Risky Assets.-SPREAD OPTION APPROXIMATION.-Analytical Spread Approximation.-EXTREME SPREADS.-Extreme Spread.-Reverse Extreme Spread.-VALUE OR NOTHING OPTIONS.-Cash-or-Nothing Option.-Asset-or-Nothing Option.-SINGLE BARRIER TYPE OPTIONS.-IN BARRIER VALUATION.-Valuation with a Rebate.-Down and In Call valuation.-Up and In Call valuation.-Down and In Put valuation.-Up and In Put