Derivative Models and Implementations

Welcome to visit Wenhua Wang's personal web site. The site includes some of my research notes on computational methods in finance. Since this site is hosted by yahoo free hosting service, the spaces are quite limited. If you are interested in the source code for study purposes, please contact me.

Research note on the implementation and verification of derivative models:

1. Plain Vanilla Option Pricing
• The implementation of Black-Scholes option pricing formula
• The implementation of Binomial Tree
• The implementation of Trinomial Tree

Notes (in PDF format)
Please contact me if you are interested in the source code.
 

2. Advanced Option Pricing and Hedging

• Monte Carlo simulation

• Option Pricing with FFT

Notes (in PDF format)
Please contact me if you are interested in the source code.
 

3. Exotic Options
• Price a discrete down-and-out call option
• Look-back Options

Notes (in PDF format)
Please contact me if you are interested in the source code.
 

4. Stochastic Processes and Option Pricing

• Heston Vanilla Option Model

• CEV (Constant Elasticity of Variance) Model

• Monte Carlo simulation on CEV
• Merton’s Jump Diffusion Model

•  Kou’s Jump Diffusion Model

Notes (in PDF format)
Please contact me if you are interested in the source code.
 

5. Fundamental Credit Risk Model

CreditGrades survival probabilities, pricing formula, and Greeks.

Notes (in PDF format)
Please contact me if you are interested in the source code.
 

6. One-Factor Copula Model

Verify the model described in "The Perfect Copula", by John Hull and Alan White.

          Notes (in PDF format)
          Please contact me if you are interested in the source code.
 

  On the other hand, almost all the models described in Espen Gaarder Haug's book "The Complete Guide to Option Pricing Formulas" were implemented in Java. If you are interested in the source code, please contact me. Click here to try it online.

  I plan to implement an option calculator, which includes all the analytic models described in Haug's book, as well as the numerical implementations I implemented in the past with a big Java applet. Please check this web site frequently.