Calculators and Notes for Quantitative Finance

Calculators are unproven and for informational purposes only.

Enter information in the blue fields to utilize this Excel call calculator. Use goal seek to get implied volatility.
Simulate the value of an arithmetic average rate call. All parameters are in days except the risk-free rate which is annual (252 days). Sigma is the daily standard deviation of log returns and mu is the appropriately chosen parameter in dS = S mu dt + S sigma dW . The output also includes the simulated value of the geometric average rate call using the same random values as were used in the calculation of the arithmetic average rate call. Since the value of the geometric average rate call can be computed analytically, it can be used with the given output and the method of covariates to provide more accurate estimates of the price of the arithmetic average rate call.
Calculate payments and more on plain-vanilla mortgages.
Calculate present values for early retirement benefits from U. S. Social Security.

Notes (This is a large ~11 mb file.)
Reference [9] of the notes. (This is a large ~9 mb file.)