Pricing Models and Numerical Methods

Models

• Black-Scholes Model
• Heston Model
• Hull-White Model
• Black-Karasinski Model
• Cox-Ingersoll-Ross Model
• Extended Cox-Ingersoll-Ross Model
• Vasicek Model
• G2 Model

Numerical Methods

• Monte Carlo Simulation
• Finite Difference Methods
• Binomial Tree, Cox-Ross-Rubinstein, Method
• Internal Design of Tree Lattice

Closed-Form Solution Methods

• Heston Model Closed-Form Solution
• Merton 76 Closed-Form Solution
• Garman-Kohlhagen Closed-Form Solution
• Quanto Closed-Form Solution
• Hull White Analytic Closed-Form Solution

Risk

• Portfolio Optimisation
• Credit Default Swap