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Options & Derivatives Pricing and Risk Valuation Freeware in Excel | Deriscope
Options & Derivatives Pricing and Risk Valuation Freeware in Excel | Deriscope
Technology: Excel Calculator for Financial Derivatives & Options Valuation
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docs/ 18 pages
//www.deriscope.com/docs/Barone_Adesi_Whaley_1987.pdf
//www.deriscope.com/docs/Bates_1996.pdf
//www.deriscope.com/docs/Black_Scholes_1973.pdf
//www.deriscope.com/docs/Longstaff_Schwarz_2001.pdf
//www.deriscope.com/docs/AssetSwaps_LehmanBrothers_2000.pdf
//www.deriscope.com/docs/Hagan_West_curves_AMF.pdf
//www.deriscope.com/docs/Hagan_2002.pdf
//www.deriscope.com/docs/BlackScholesFormula.pdf
//www.deriscope.com/docs/BjerksStensland.pdf
//www.deriscope.com/docs/Ju_1999.pdf
//www.deriscope.com/docs/Demeterfi.pdf
//www.deriscope.com/docs/Beaglehole_Dybvig_Zhou_1997.pdf
//www.deriscope.com/docs/Kluge_SwingOptions_2006.pdf
//www.deriscope.com/docs/Hambly_Howison_Kluge_SwingOptions_2007.pdf
//www.deriscope.com/docs/Heston.pdf
//www.deriscope.com/docs/Merton_1976.pdf
//www.deriscope.com/docs/One_Factor_GSR_Peter_Caspers_2013.pdf
//www.deriscope.com/docs/Markov_Functional_Peter_Caspers_2013.pdf
    
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products/ 306 pages
Products
Tradable Group
Equity Products (15)
Foreign Exchange Products (15)
Commodity Products (16)
Interest Rate Products (19)
Credit Products (10)
Hybrid Products (6)
Yield Curve
Vol Curve
Dividend Curve
Credit Curve
Inflation Curve
Historical Values
Prices
Bug List
Type
type
object
Tradable::Price
Tradable::Settle
Currency
Stock
Stock Option
Bond Group
CapFloor
Commodity
Issuer
Option Group
Swap Group
Trading Strategy Group
Asian Option
Basket Option
Cliquet Option
Lookback Option
Option On Maximum
Option On Minimum
Portfolio
Quanto Option
Spread Option
Stock Index Option
Stock Index Portfolio
Variance Swap
FX Option
Commodity Option
Storage Option
Swing Option
BMA Swap
CMS
FixedFloat IRS
Fixed Float Swaption
FloatFloat IRS
Float Float Swaption
Overnight Index Swap
Vanilla IRS
Vanilla Swaption
Asset Swap
BTP
CCTEU
CDS
CMS Rate Bond
Fixed Rate Bond
Ibor Rate Bond
Zero Bond
Inflation Bond
Inflation Option
Inflation Swap
Trading Strategy
Valuation
discount factor
Yield Curve::Deposits Input
Yield Curve::Futures Input
Yield Curve::FRAs Input
Yield Curve::Build Method
Yield Curve::Modelled Qty
Interpolation::Interpolation Method
Vol Spec::Vol Type
Vol Curve::Vol Input
Tradable
Quotable
Dividend Group
survival probability
CDS::Quote Type
Credit Curve::Accrual On Default
Credit Curve::Settle On Default
Credit Curve::Build Method
Credit Curve::Modelled Qty
Inflation Index
Zero Inflation Swap
Year-On-Year Inflation Swap
Inflation Curve::Build Method
Quotable Path
BMA Swap Bug List
Variance Swap Bug List
Market
Model
Util
handle name
Access Mode
2D{WkEnd|N}
Vanilla Option
Model[Vanilla Option]
Bond::Accrual Schedule
Fixed Rate Bond Group
Ibor Rate Bond Group
CapFloor::CapFloor Type
Model[CapFloor]
Option::Direction
Option::Exercise Type
Option::Barrier Type
Exotic Option Group
Fixed Float Swaption Group
Multi Asset Option Group
Vanilla Option Group
FixedFloat IRS Group
FloatFloat IRS Group
Portfolio Group
Option
Asian Option::Asian Type
Model[Asian Option]
Multi Asset Option
Model[Multi Asset Option]
Cliquet Option::Moneyness
Model[Cliquet Option]
Lookback Option::Lookback Type
Model[Lookback Option]
Model[Quanto Option]
Stock Index
Model[Variance Swap]
FX::Quote Currency
FX
FX::Base Currency
Model[Storage Option]
Model[Swing Option]
BMA Rate
Ibor Rate
Model[BMA Swap]
Model[FloatFloat IRS]
FixedFloat IRS::Fixed Rates
Model[FixedFloat IRS]
Tradable::Settlement Type
Model[Fixed Float Swaption]
Swap Rate
FloatFloat IRS::Direction
Model[Float Float Swaption]
Overnight Rate
Overnight Index Swap::Index
Model[Overnight Index Swap]
FixedFloat IRS::Fixed Notionals
FixedFloat IRS::Float Notionals
Model[Vanilla Swaption]
Asset Swap::Structure
Model[Asset Swap]
CDS::Direction
CDS::Claim Type
Model[CDS]
Bond
CMS Rate Bond::Index
Ibor Rate Bond::Index
Inflation Adjusted Rate Swap
Inflation Option::Swap
Model[Inflation Option]
Inflation Swap::Swap Type
Model[Inflation Swap]
Set
futures convexity correction
Vol Spec
Vol Spec::Ref Quotable
SABR Model
Vol::Peg Date
Table2D
HyperTable
Quotable::Value
Stock Price
Discount Factor Group
Probability Measure
Dividend
default density
hazard rate
Inflation Index::Quote Type
BMA Swap::WrongFirstFixingDateCheck
Variance Swap::PastStartDate
TYPE
Step
2D
Holiday
WkEnd
Bump
N
Vanilla Option::Payoff Type
Model[Vanilla Option]::Pricing Approach
Vol Curve::Vol Input::Maturity
Vol Curve::Vol Input::Maturity-Strike
Tradable::Implied Vol
Vol Curve::Create Implied Vol Table
McSimulation Extra Data
FDVanilla Extra Data
Schedule
Model[CapFloor]::Forecasting Curve Issuer
Model[CapFloor]::Pricing Method
Average::Average Type::Arithmetic
Average::Average Type::Geometric
Model[Asian Option]::Pricing Method
Model[Multi Asset Option]::Pricing Method
Cliquet Option::Forward Starts
Model[Cliquet Option]::Pricing Method
Quanto Option Pricing Methods
Model[Variance Swap]::Pricing Method
OU Process
Model[Swing Option]::Pricing Method
Model[BMA Swap]::Forecasting BMA Curve Issuer
Model[BMA Swap]::Forecasting Ibor Curve Issuer
Model[FixedFloat IRS]::Forecasting Curve Issuer
Model[Fixed Float Swaption]::Pricing Method
Model[Float Float Swaption]::Pricing Method
Model[Overnight Index Swap]::Forecasting Curve Issuer
Model[Vanilla Swaption]::Pricing Method
Vol Curve::Vol Input::VanillaSwaption ATM
Vol Curve::Vol Input::VanillaSwaption Cube
Asset Swap::Index
Model[CDS]::Pricing Method
Model[CDS]::Discounting Curve Issuer
Model[Inflation Option]::Pricing Method
Inflation Swap::Ibor Schedule
Inflation Swap::Inflation Schedule
Vol
Table
Discount Factor
how to replicate this bug
Period
Number
Unit
Name
AllPricingApproaches
AnalyticApproach
FDApproach
MCApproach
TreeApproach
Schedule::Tenor
Yield Curve::Issuer
Finite Differences
Model[Simulation]
Exp OU Process
Gaussian 1d Model
VanillaOption Adjusted Spread
DateBump
Inflation Swap::Ibor Date Bump
Inflation Swap::Inflation Date Bump
Vol::Vol Spec
Vol Spec::Risk Factor
Table1D
DayCount
Calendar
Hull White Model
GJRGARCH Model
Heston Model
PTD Heston Model
Bates Model
Tree
Merton76 Model
Riskless Issuer
Simulation
GSR Model
Markov Functional
Inflation Swap::Bump Inflation Dates
poisson process
Country
In Tradable
0D
0D
No
Tradable Functions
Forward Contract Group
Forward Contract
Forward Start Option
Futures Spread Option
Quanto Forward Start Option
Fixed Rate Bond Forward
Forward Rate Agreement
Yield Curve Functions
Vol Curve Functions
Credit Curve Functions
Inflation Curve Functions
Type Functions
Stock Functions
Bond Functions
CapFloor Functions
CDS Functions
Valuation Functions
Quotable Functions
Calendar Functions
GSR Model Functions
Markov Functional Functions
Model[Forward Start Option]
Model[Quanto Forward Start Option]
Fixed Rate Bond Forward::Forward Price
Model[Fixed Rate Bond Forward]
Fixed Rate Bond Forward Functions
Forward Rate Agreement::Forward Rate
Forward Rate Agreement Functions
Model[CDS]::Pricing Method::Mid Point Cds
CDS::Implied Hazard Rate
Forward Start Option Pricing Methods
Quanto Forward Start Option Pricing Methods
Model[Fixed Rate Bond Forward]::Income Curve Issuer
Fixed Rate Bond Forward::Spot Value