quantitative finance, a lattice model is a numerical approach to the valuation of derivatives in situations requiring a discrete time model. For dividend...

as opposed to the continuum of space or spacetime Lattice model (finance), a "discrete-time" model of the varying price over time of the underlying financial...

interest rate derivatives see Lattice model (finance) § Interest rate derivatives. The Binomial options pricing model approach has been widely used since...

other interest rate derivatives; see Lattice model (finance) § Interest rate derivatives. It is a one-factor model; that is, a single stochastic factor—the...

material Lattice (music), an organized grid model of pitch ratios Lattice (pastry), an ornamental pattern of crossing strips of pastry Lattice Engines...

option's life as a function of both time and interest rates; see Lattice model (finance) § Interest rate derivatives. Spread duration is the sensitivity...

derivatives see Lattice model (finance)#Interest rate derivatives. Under the trinomial method, the underlying stock price is modeled as a recombining...

option's life as a function of both time and interest rates; see Lattice model (finance) § Interest rate derivatives. The beta (β) of a stock or portfolio...

Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the...

market data Fixed-income attribution § Modeling the yield curve Multi-curve framework Lattice model (finance) § Interest rate derivatives - discussing...

Roll–Geske–Whaley Black model Binomial options model Finite difference methods for option pricing Garman–Kohlhagen model The Greeks Lattice model (finance) Margrabe's...

application to commodities, interest rates and hybrid instruments, see Lattice model (finance). For many classes of options, traditional valuation techniques...

simulation; see Lattice model (finance) § Interest rate derivatives and Monte Carlo methods for option pricing, although some short rate models have closed...

although there are then three nodes in question at each point.) See Lattice model (finance) § Interest rate derivatives. The term "bond option" is also used...

option's life as a function of both time and interest rates; see Lattice model (finance) § Interest rate derivatives. Black–Scholes equation Bond duration...

Model returns a Trinomial Tree: the same logic is applied, although there are then three nodes in question at each point.) See Lattice model (finance)...

Bonds" (PDF). Journal of Empirical Finance. doi:10.2139/ssrn.762804. S2CID 233758183. See Lattice model (finance)#Hybrid securities FinPricing. Bond...

onto a tree or lattice and so interest rate derivatives such as bermudan swaptions can be valued in the model. The first Hull–White model was described...

future rates; see Bond valuation § Stochastic calculus approach and Lattice model (finance) § Hybrid securities. Following the Crash of 1987, equity options...

Management. Quantitative finance started in 1900 with Louis Bachelier's doctoral thesis "Theory of Speculation", which provided a model to price options under...

via a binomial lattice based model. Closed form valuations of bonds, and "Black-like" bond option formulae are also available. As the model generates a symmetric...

Compound option Edgeworth binomial tree Implied binomial tree Lattice model (finance) Rainbow option Rubinstein, Mark (2011-09-02). A History of the...

72, 163–175. A Perspective on Quantitative Finance: Models for Beating the Market, Quantitative Finance Review, 2003. Also see Option Theory Part 1 by...

In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The name...

jump(-diffusion) models: Singwi, Sjölander 1960: alternation between oscillatory motion and directed motion Chudley, Elliott 1961: jumps on a lattice Sears 1966...

usually done on a time-dependent multi-dimensional lattice ("tree") or using specialized simulation models. Both are calibrated to the underlying risk drivers...

In mathematical finance, a Monte Carlo option model uses Monte Carlo methods to calculate the value of an option with multiple sources of uncertainty...

1994. The Manitowoc lattice boom crawler crane product line has 16 products and two capacity-enhancing attachments. Manitowoc lattice-boom crawler cranes...

finite differences, and the evolution in the option price is then modelled using a lattice with corresponding dimensions: time runs from 0 to maturity; and...

options. The most common option pricing models employed here are the Black–Scholes-Merton models, lattice models and Monte Carlo simulations. This approach...