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POH E-SHAWN, ALVIN

Samples of Work Done. Created using Microsoft Visual Basic Editor; calculation by Matlab or Excel; Figure of price path simulation. Computation of Bond Duration using Nelson-Siegel Method. For portfolio of bonds. Pricing of American Options. Using trinomial lattice and incorporating values of delta and gamma. Pricing of European Options. Configuring SAP according to business requirements of a fictitious company.

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POH E-SHAWN, ALVIN | poheshawn.tripod.com Reviews
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Samples of Work Done. Created using Microsoft Visual Basic Editor; calculation by Matlab or Excel; Figure of price path simulation. Computation of Bond Duration using Nelson-Siegel Method. For portfolio of bonds. Pricing of American Options. Using trinomial lattice and incorporating values of delta and gamma. Pricing of European Options. Configuring SAP according to business requirements of a fictitious company.
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POH E-SHAWN, ALVIN | poheshawn.tripod.com Reviews

https://poheshawn.tripod.com

Samples of Work Done. Created using Microsoft Visual Basic Editor; calculation by Matlab or Excel; Figure of price path simulation. Computation of Bond Duration using Nelson-Siegel Method. For portfolio of bonds. Pricing of American Options. Using trinomial lattice and incorporating values of delta and gamma. Pricing of European Options. Configuring SAP according to business requirements of a fictitious company.

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poheshawn.tripod.com poheshawn.tripod.com
1

' Name : Poh E-Shawn, Alvin

http://poheshawn.tripod.com/Excel1.htm

A Look at the Lookback. VBA Code for Calculating Lookback. Q, steps, NoPaths. Variables to be used. Price Paths according to Geometric Brownian Motion (GBM). For j = 2 To. Use dynamic array to store generated prices in one path. Initialize first price in path as S0. GBM = ( (r - q) * dt. Calculate GBM factor for each step in price path. J - 1) PricePath. J - 1) * GBM. Price at one step is based on % price change of previous price. Information required by each flavour after each price path is generated.

2

% Name: Poh E-Shawn, Alvin

http://poheshawn.tripod.com/Matlab1.htm

Name: Poh E-Shawn,. Valuation of American Options using Trinomial Lattice. Option, delta, gamma] = tri Aprice(S0, X, r, T, steps, sig, q, otype). Calculate period of time per step (initial step is denoted as Step 0). Dt = T/steps ;. Calculate factors for price movement upwards (u) and downwards (d). U=exp(sig*( pi*dt/2) 0.5) ;. Calculate probabilities for price movement upwards (Pu), downwards (Pd) and unchanged (Pm) using given formula in Assignment. Declare continuous compounded discount rate. Store op...

3

% Name: Poh E-Shawn, Alvin

http://poheshawn.tripod.com/Matlab2.htm

Name: Poh E-Shawn,. Valuation of European Options using Trinomial Lattice. Option, delta, gamma] = tri Eprice(S0, X, r, T, steps, sig, q, otype). Calculate period of time per step (initial step is denoted as Step 0). Dt = T/steps ;. Calculate factors for price movement upwards (u) and downwards (d). U=exp(sig*( pi*dt/2) 0.5) ;. Calculate probabilities for price movement upwards (Pu), downwards (Pd) and unchanged (Pm) using given formula in Assignment. Declare continuous compounded discount rate.

4

Calculation of Bond Duration using Nelson- Siegel Method

http://poheshawn.tripod.com/Excel2.htm

Calculation of Bond Duration using Nelson- Siegel Method. Zero-Coupon Yield Curve and Excerpt of Calculations. A) Calculations for a particular bond. CALCULATIONS FOR BOND 2. Cash flows of Bond 2 at time t. Price of Bond 2. C) Curvature 1 $Duration. D) Curvature 2 $Duration. Change in the Price of the Bond calculated using the Nelson-Siegel Method. A) Change in Bond Price calculated using the Nelson-Siegel Method. Change in Bond Price =. Summation of product of the various betas with respective $Dur).

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POH E-SHAWN, ALVIN

Samples of Work Done. Created using Microsoft Visual Basic Editor; calculation by Matlab or Excel; Figure of price path simulation. Computation of Bond Duration using Nelson-Siegel Method. For portfolio of bonds. Pricing of American Options. Using trinomial lattice and incorporating values of delta and gamma. Pricing of European Options. Configuring SAP according to business requirements of a fictitious company.

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