Professional Documents
Culture Documents
Anatoliy Swishchuk
Math & Comp Lab
Dept of Math & Stat, U of C
Lunch at the Lab Talk
November 7th, 2006
About the Authors: Clewlow, Les
About the Authors: Strickland, Chris
About the Authors: Kaminski, Vince
About the Authors: Kaminski, Vince
About the Authors: Masson, Grant
About the Authors: Chahal, Ronnie
Contents
Preface
11 Chapters
References: 125
Index
Chapter 1
Chapter 2
Chapter 3
Chapter 3 (cntd)
Chapter 4
Chapter 5
Chapter 6
Chapter 7
Chapter 8
Chapter 8 (cntd)
Chapter 9
Chapter 10
Chapter 11
Chapter 11 (cntd)
Chapter 1
Ch. 1 (1.1. Intro to Energy Derivatives)
F. Black, M.
Scholes, R. Merton
(1973)-BSM
approach
SDE (GBM)
Ch. 1 (1.2. Fundamentals of Modelling and
Pricing II)
F. Black, M. Scholes, R.
Merton (1973)-BSM
approach
PDE
Ch. 1 (1.2. Fundamentals of Modelling and
Pricing III)
F. Black, M.
Scholes, R.
Merton (1973)-
BSM approach
Solution
Ch. 1 (1.2. Fundamentals of Modelling and
Pricing IV)
Merton (1973)
P(T,t)-price at time t of
a pure discount bond
with maturity date T
BSM formula
Ch. 1 (1.3. Numerical Techniques)
Speaker:
Ouyang, Yuyuan (Lance)
November 17, 2006, 12:00pm, MS 543
Distribution list of Chapters:
Ch 1,3,6-Anatoliy
Ch 2,7-Lance
Ch 4,8-Matt
Ch 5,9-Matthew
Ch 10-Xu
Ch 11-Greg