Financial
mathematics
In the last years I got more and more interested in questions
of financial mathematics like Value at risk,
Portfolio-optimization or Option-pricing. Here are some of my
works. They are no high-end real life applications - Excel is not
the tool for such tasks - but they show the mathematical idea.
- Pricing of an
american plain Vanilla option. A little
Excel-Sheet which calculates the price of american Put
and Call-Options on a stock. I used the binomial-tree
modell, also know as the CRR-Modell
- Calculation of
a bond price. Another Excel-Sheet which
calculates the price of an "regular" bond from
the expected cash-flows and a given yield-curve. Nothing
special, but it gives you a feeling how cash-flows,
yield-curve and bond-prices interact.
- Monte Carlo Value at
Risk. An Excel-Sheet that calculates the VAR
for a portfolio of three risk factors. The number of
simulations is limited to 10000. The empirical
distrubutions of the portfolio values is provided. On a
second sheet the covariance matrix of rel. returns can be
estimated from historical prices. The calculation follow
the idea of RiskMetrics.
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04-08-2003