Philip H. Dybvig Teaching Page
Also of interest: Tony Sanders at Ohio State tells me that he is putting some fixed income programs in C++ up on his Web page.
Syllabus: MBA version (FIN 549A) --- undergrad version (FIN 400B)
Helpful Technical Tips (including help on homework 0 and advice on selecting a compiler) courtesy of Greg Willard
Homework 0
...related programs: crrtest.cc
crr.cc
crr.h
...NEW: annotated crr.h and crrtest.cc
Homework 1
...related programs: captest.cc
cap.cc
cap.h
...NEW: annotated cap.cc
Homework 2
...related programs: futtest.cc
fut.cc
fut.h
...NEW: annotated fut.h, futtest.cc, and fut.cc
Homework 3
...related programs: simu1test.cc
simu1.cc
simu1.h
...NEW: annotated simu1.h, simu1test.cc, and simu1.cc
Homework 4
...related programs: simu2test.cc
simu2.cc
simu2.h
...NEW: annotated simu2.h, simu2test.cc, and simu2.cc
Homework 5
...related programs:
bstest.cc
bs.cc
bs.h
gausstest.cc
gaussian.cc
gaussian.h
simu1test.cc
simu1.cc
simu1.h
Lecture -1: Course Perspectives
...PostScript file size 231K
...Text-only version size 1K
Lecture 0: Review of Binomial Option Pricing and a Simple Binomial Option
Pricing Program
...PostScript file size 368K
...Text-only version size 10K
Lecture 1: Pricing Interest Derivatives and a Simple Binomial Interest
Option Pricing Program
...PostScript file size 323K
...Text-only version size 8K
Lecture 2: Pricing Commodity Futures Options and a Simple Binomial
Futures Option Pricing Program
...PostScript file size 273K
...Text-only version size 7K
Lecture 3: Asset Allocation Simulation and a Brief Introduction to
Simulation
...PostScript file size 311K
...Text-only version size 7K
Lecture 4: Stochastic Volatility Option Pricing Model and Simulation
Estimation of Option Prices
...PostScript file size 287K
...Text-only version size 8K
Lecture 5: Black-Scholes Hedge Simulation
...PostScript file size 180K
...Text-only version 4K