| |
Table of Contents of this Workbook |
|
|
|
|
|
|
|
|
|
| |
Chapter/Sheet |
|
Relevance |
|
|
|
|
|
|
|
|
| 1 |
Read Me 1st .. or else |
- this sheet |
|
|
|
|
|
|
|
|
| 2 |
C2 - Slopes etc |
|
- bond and option hedging |
|
|
|
|
|
|
|
| 3 |
C3 - Quadrature Dig Option |
- option valuation |
|
|
|
|
|
|
|
|
| 4 |
C4 - BP Histogram Diffs |
- statistical characterisation of market processes |
|
|
|
|
|
| 5 |
C4 - Hist vs Moments |
- histogram vs summary measure methods |
|
|
|
|
|
|
| 6 |
C4 - Wgtd Stats |
|
|
|
|
|
|
|
|
|
|
|
| 7 |
C5 - 2-D Normal CDF |
|
|
|
|
|
|
|
|
|
|
|
| 8 |
C9 - XL In Situ MC |
|
|
|
|
|
|
|
|
|
|
|
| 9 |
C9 - XL In Situ-Func MC |
|
|
|
|
|
|
|
|
|
|
| 10 |
C9 - Simple MC Opt VBA |
|
|
|
|
|
|
|
|
|
|
| 11 |
C9 - MC Call MCX |
|
- MCX® |
|
|
|
|
|
|
|
|
|
| 12 |
C9 - @Risk MC Opt |
|
- @Risk® |
|
|
|
|
|
|
|
|
|
| 13 |
C10 - Simple MC Barrier |
|
|
|
|
|
|
|
|
|
|
| 14 |
C10 - Simple MC Asian |
- more Asian options in Sheet 26: "Control Variate" examples |
|
|
|
|
| 15 |
C10 - Simple MC Compound |
|
|
|
|
|
|
|
|
|
|
| 16 |
C10 - MC American VBA and DLL |
- includes both VBA and DLL linked functions showing both early
exercise and calculation speed issues. |
| 17 |
C11 - MC EofA VBA (2-fact) |
|
|
|
|
|
|
|
|
|
|
| 18 |
C11 - MC Forward MCX |
- MCX® |
|
|
|
|
|
|
|
|
|
| 19 |
C11 - MC MR Forward MCX |
- MCX® |
|
|
|
|
|
|
|
|
|
| 20 |
C11 - MC 2-fact Forward MCX |
- MCX® |
|
|
|
|
|
|
|
|
|
| 21 |
C12 - MC Greeks |
|
|
|
|
|
|
|
|
|
|
|
| 22 |
C12 - MCVaR 2-fact |
|
|
|
|
|
|
|
|
|
|
|
| 23 |
C13 - BS Plain Dlta PaR MCX |
- MCX® |
|
|
|
|
|
|
|
|
|
| 24 |
C15 - Random Nums |
|
|
|
|
|
|
|
|
|
|
|
| 25 |
C15 - MC OptAntithetic |
- includes static/partial convergence/error analysis. |
|
|
|
|
|
| 26 |
C15 - MC AsianControlVariate |
- includes dynamic/partial
convergence/error analysis. |
|
|
|
|
|
| 27 |
C16 - Basic Tree |
|
- forward/backward induction for European & American options |
|
|
|
|
| 28 |
C16 - Explicit FD |
|
- option pricing with Finite Difference example. |
|
|
|
|
|
| 29 |
TG2MCX SampleLookUpStats |
- illustration of "lookup" function for TG2MCX®
Summary Statistics |
|
|
|
| 30 |
t4 |
|
|
- hidden sheet:
stores histogram bin values and counts, summary/cumulative counts,
|
|
|
| |
|
|
|
and basic statistics for each forward date in an MCX simulation |
|
|
|
|
| |
|
|
|
You may un-hide this sheet and examine it, but altering can cause
MANY THINGS to BREAK |
|
|
|
|
|
|
|
|
There is also |
|
|
|
|
|
|
|
|
|
|
PrrOXL-Lite_Educational.xla |
PaR Addin |
|
|
|
|
|
|
|
|
MC basic dlls.dll |
HGL MC Addin |
|
|
|
|
|
|
|
|
. |
... plus User's Guides |
|
|
|
|
|
|
|
2.0 VBA Source Code
(Custom functions)
Function DSINH
Function DCOSH
Function TG2_AJM_EWMA_Initialize
Function TG2_AJM_EWMA_UpDate
Function TG2_AJM_EWMA_Variance
Function TG2_MC_SimpleCall1
Function TG2_Box_Muller1
Function TG2_MC_XOpt_SimpleKO1
Function TG2_DensityLogNorm_MV_T1
Function TG2_DensityBiNorm
Function TG2_CumBiNorm
Function TG2_NormBV
Function TG2_CumNorm
Function TG2_FCumNorm
Function DensityNorm_01
Function TG2BlackScholes
Function TG2BlackScholesResNames
Function TG2_MC_Iterator1
Function TG2QM_MC_LCG1
Function TG2QM_MC_RunningAve
Function TG2QM_MC_SimpleOption
Function TG2QM_MC_SimpleOptionAntithetic
Function TG2QM_MC_XOpt_SimpleKI1
Function TG2QM_MC_XOpt_SimpleAsian1
Function TG2QM_MC_XOpt_SimpleAsianGeom_BR1
Function TG2QM_MC_XOpt_SimpleAsian1ContVar
Function TG2QM_MC_XOpt_SimpleAsianGeom1
Function TG2QM_MC_XOpt_SimpleCompound1
Function TG2QM_MC_Iterator1_2Fact
Function TG2QM_MC_XOpt_SimpleAmer1
Function TG2QM_MC_XOpt_Simple2FactExchange1
Function TG2QM_MC_IteratorMeanRev1
Function TG2QM_NSWC_UniformRand
![[Company Logo Image]](images/ARTLoggoBlocksGrad.jpg)
