(The University Bookstore also has some copies. I don't know
what they're charging.) Note that we use the 2004-version
(ie. the second edition) of Bjørk's book. If for some reason
you have the first edition, I guess you could get through using that,
but it would be the wrong place to save £35.
Some known typos in Bjørk. This refers to 1st printing, 1st edition of the book.
Some have been corrected in the 2nd edition.
More typos, this time in the 2nd edition.
The note Exotic Options: Proofs without Formulas (which is on the curriculum -
"det er pensum" - but you'll only need up to page 6).
in the notes used in our local 3rd year
course "Investment- and Finance-theory" cover discrete
models in great detail.
Here is a nice little paper by Desmond Higham on
how to implement the binomial model. It talk about Matlab,
but the moral of the story ("think" or "vectorize for speed") is the
same for other high-level languages; R for instance.
Old exam questions:
Follow this link
to download R. You can also find various manuals.
Brownian motion simulation in R: Slow or
Poisson process simulation in R:
Euler scheme simulation in R: Geometric Brownian motion,
mean-reverting process, and
the process with two 'attractors'.
R-code for trading strategies
(as used at the lectures) and
The real life data;
The value of the KFX index and Danish short rates over
the last year . I got them via
R-code for discrete Delta-heding of a call.
It hedges along a path and repeats over many
paths. You'll need this
to run it. (Place the two files in the same directory.)
This R-code hedges along a path,
repeats over many paths, AND repeats over many hedge frequencies.
A spreadsheet with analysis of some
real-life option data.
Danish yield curve estimation R-code. Explained
on Weekly Note #11.
R-code for Vasicek estimation;
more commented than usual. The 1952-2004
for yield volatility calibration. Not pretty code.
The official desription of the course.
Last year's course homepage. Things will be pretty much the same this year.