121 lines
5.2 KiB
HTML
121 lines
5.2 KiB
HTML
<!DOCTYPE html>
|
|
<html lang="en">
|
|
<head>
|
|
<meta charset="utf-8">
|
|
<meta http-equiv="X-UA-Compatible" content="IE=edge">
|
|
<meta name="viewport" content="width=device-width, initial-scale=1">
|
|
<meta name="description" content="My only non-core class this semester has been in Structure Products. We've been surveying a wide variety of products, and the final project was to pick one to report on. Because these are all very...">
|
|
<meta name="keywords" content="finance, monte carlo, simulation">
|
|
<link rel="icon" href="/favicon.ico">
|
|
|
|
<title>Autocallable Bonds - Bradlee Speice</title>
|
|
|
|
<!-- Stylesheets -->
|
|
<link href="/theme/css/bootstrap.min.css" rel="stylesheet">
|
|
<link href="/theme/css/fonts.css" rel="stylesheet">
|
|
<link href="/theme/css/nest.css" rel="stylesheet">
|
|
<link href="/theme/css/pygment.css" rel="stylesheet">
|
|
<!-- /Stylesheets -->
|
|
|
|
<!-- RSS Feeds -->
|
|
<!-- /RSS Feeds -->
|
|
|
|
<!-- HTML5 shim and Respond.js for IE8 support of HTML5 elements and media queries -->
|
|
<!--[if lt IE 9]>
|
|
<script src="https://oss.maxcdn.com/html5shiv/3.7.2/html5shiv.min.js"></script>
|
|
<script src="https://oss.maxcdn.com/respond/1.4.2/respond.min.js"></script>
|
|
<![endif]-->
|
|
|
|
|
|
|
|
</head>
|
|
|
|
<body>
|
|
|
|
<!-- Header -->
|
|
<div class="header-container gradient">
|
|
|
|
<!-- Static navbar -->
|
|
<div class="container">
|
|
<div class="header-nav">
|
|
<div class="header-logo">
|
|
<a class="pull-left" href="/"><img class="mr20" src="/images/logo.svg" alt="logo">Bradlee Speice</a>
|
|
</div>
|
|
<div class="nav pull-right">
|
|
</div>
|
|
</div>
|
|
</div>
|
|
<!-- /Static navbar -->
|
|
|
|
<!-- Header -->
|
|
<!-- Header -->
|
|
<div class="container header-wrapper">
|
|
<div class="row">
|
|
<div class="col-lg-12">
|
|
<div class="header-content">
|
|
<h1 class="header-title">Autocallable Bonds</h1>
|
|
<p class="header-date"> <a href="/author/bradlee-speice.html">Bradlee Speice</a>, Fri 27 November 2015, <a href="/category/blog.html">Blog</a></p>
|
|
<div class="header-underline"></div>
|
|
<div class="clearfix"></div>
|
|
<p class="pull-right header-tags">
|
|
<span class="glyphicon glyphicon-tags mr5" aria-hidden="true"></span>
|
|
<a href="/tag/finance.html">finance</a>, <a href="/tag/monte-carlo.html">monte carlo</a>, <a href="/tag/simulation.html">simulation</a> </p>
|
|
</div>
|
|
</div>
|
|
</div>
|
|
</div>
|
|
<!-- /Header -->
|
|
<!-- /Header -->
|
|
|
|
</div>
|
|
<!-- /Header -->
|
|
|
|
|
|
<!-- Content -->
|
|
<div class="container content">
|
|
<p>My only non-core class this semester has been in Structure Products. We've been surveying a wide variety of products, and the final project was to pick one to report on.
|
|
Because these are all very similar, we decided to demonstrate all 3 products at once.</p>
|
|
<p>What follows below is a notebook demonstrating the usage of <a href="http://julialang.com">Julia</a> for Monte-Carlo simulation of some exotic products.</p>
|
|
<p>{% notebook 2015-11-27-autocallable.ipynb language[julia] %}</p>
|
|
<script type="text/x-mathjax-config">
|
|
MathJax.Hub.Config({tex2jax: {inlineMath: [['$','$'], ['\(','\)']]}});
|
|
</script>
|
|
|
|
<script async src='https://cdn.mathjax.org/mathjax/latest/MathJax.js?config=TeX-AMS_CHTML'></script>
|
|
|
|
|
|
|
|
</div>
|
|
<!-- /Content -->
|
|
|
|
<!-- Footer -->
|
|
<div class="footer gradient-2">
|
|
<div class="container footer-container ">
|
|
<div class="row">
|
|
<div class="col-xs-4 col-sm-3 col-md-3 col-lg-3">
|
|
<div class="footer-title"></div>
|
|
<ul class="list-unstyled">
|
|
</ul>
|
|
</div>
|
|
<div class="col-xs-4 col-sm-3 col-md-3 col-lg-3">
|
|
<div class="footer-title"></div>
|
|
<ul class="list-unstyled">
|
|
<li><a href="https://github.com/bspeice" target="_blank">Github</a></li>
|
|
<li><a href="https://www.linkedin.com/in/bradleespeice" target="_blank">LinkedIn</a></li>
|
|
</ul>
|
|
</div>
|
|
<div class="col-xs-4 col-sm-3 col-md-3 col-lg-3">
|
|
</div>
|
|
<div class="col-xs-12 col-sm-3 col-md-3 col-lg-3">
|
|
<p class="pull-right text-right">
|
|
<small><em>Proudly powered by <a href="http://docs.getpelican.com/" target="_blank">pelican</a></em></small><br/>
|
|
<small><em>Theme and code by <a href="https://github.com/molivier" target="_blank">molivier</a></em></small><br/>
|
|
<small></small>
|
|
</p>
|
|
</div>
|
|
</div>
|
|
</div>
|
|
</div>
|
|
<!-- /Footer -->
|
|
</body>
|
|
</html> |