Tag archives for Modeling

Financial Modelling (with Matlab Source): A great new book

Book Cover

Joerg Kienitz and Daniel Wetterau present “Financial Modelling: Theory, Implementation and Practice with MATLAB Source”, a great resource on state-of-the-art models in financial mathematics. The authors try to bridge the gap between current research topics and an implementation which can be applied in the real world. That means the authors are neither afraid of practical […]

Early Exercise: Curse or Blessing

Many financial contracts come with the right of exercising a right prematurely. Such early exercise rights are a clear advantage for the option holder.┬áBut, these rights create optimal stopping problems for the contract parties. Is this really an advantage? In the following, I will show you a little example from my last shopping trip and […]

Post Crisis Financial Modelling – What changes?

I recently stumbled upon an interesting book about post-crisis interest-rate modelling. Besides future changes in the LIBOR and possible EURIBOR fixing after the manipulations of the past few years, counter-party default and┬ácollateral become important. Changes in Interest-Rate and Credit Instrument Pricing Pre-crisis, there was a risk-free rate on which the market agreed. This way, different […]