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1 Standard European Options in the Black-Scholes Model

1.1 Call, Put, CallSpread, Digit

1.1.1 Analytic

1.1.2 Tree

1.1.3 Finite-Difference

1.1.4 Montecarlo

2 Standard American Options in the Black-Scholes Model

2.1 Call, Put, CallSpread, Digit

2.1.1 Tree

2.1.2 Finite-Difference

2.1.3 Montecarlo

2.1.4 Approximation

3 Barrier European Options in the Black-Scholes Model

3.1 Call, Put In-Out/Down-Up, Parisian

3.1.1 Analytic

3.1.2 Trees

3.1.3 Finite-Difference

3.1.4 Montecarlo

3.2 Discrete Barrier Option

3.2.1 Approximation

3.2.2 Montecarlo

4 Barrier American Options

4.1 Call, Put In-Out/Down-Up

4.1.1 Trees

4.1.2 Finite-Difference

5 Double Barrier European Options In/Out, Parisian in the Black-Scholes Model

5.1 Call, Put In/Out

5.1.1 Analytic

5.1.2 Approximation

5.1.3 Trees

5.1.4 Finite-Difference

5.1.5 Montecarlo

6 Double Barrier American Options In/Out in the Black-Scholes Model

6.1 Call, Put In/Out

6.1.1 Trees

6.1.2 Finite-Difference

7 Lookback European Options in the Black-Scholes Model

7.1 Call, Put Fixed-Floating

7.1.1 Analytic

7.1.2 Trees

7.1.3 Finite-Difference

7.1.4 Montecarlo

8 Lookback American Options

8.1 Call, Put Fixed-Floating

8.1.1 Trees

8.1.2 Finite-Difference

9 European Asian Options in the Black-Scholes Model

9.1 Call, Put Fixed-Floating

9.1.1 Approximation

9.1.2 Trees

9.1.3 Finite-Difference

9.1.4 Montecarlo

9.1.5 Approximation

10 American Asian Options in the Black-Scholes Model

10.1 Call, Put Fixed-Floating

10.1.1 Trees

10.1.2 Finite-Difference

11 Europeen nD Standard Options in the Black-Scholes Model

11.1 CallMax, PutMin, BestOf, Exchange

11.1.1 Analytic

11.1.2 Tree

11.1.3 Finite-Difference

11.1.4 Montecarlo

12 American nD Standard Options in the Black-Scholes Model

12.1 CallMax, PutMin, BestOf, Exchange

12.1.1 Tree

12.1.2 Finite-Difference

12.1.3 Montecarlo

12.1.4 Sparse Grid

13 Standard European Options in the Merton Model

13.1 Call, Put, CallSpread, Digit

13.1.1 Analytic

13.1.2 Approximation

13.1.3 Finite-Difference

13.1.4 Montecarlo

14 Standard American Options in the Merton Model

14.1 Call, Put, CallSpread, Digit

14.1.1 Finite-Difference

15 Standard European Options in the Dupire-Local Volatility Model

15.1 Call, Put, CallSpread, Digit

15.1.1 Finite-Difference

15.1.2 Montecarlo

15.1.3 Approximation

16 Standard European Options in the Hull-White,Stein,Scott Model

16.1 Call, Put, CallSpread, Digit

16.1.1 Montecarlo

17 Standard European Options in the Heston Model

17.1 Call, Put, CallSpread, Digit

17.1.1 Montecarlo

17.1.2 Finite Difference

17.1.3 Tree

18 Standard European Options in the Bergomi Model

19 Standard European Options in the Foque Papanicolau Sircar Model

20 Standard European Options in the Multi-Factor Foque Papanicolau Sircar Model

21 Standard European Options and Barrier Options in Exponential LÚvy models

Fourier transform [224],[143] and Finite difference methods [193],[238],Wiener-Hopf[174], Closed Formulas for pricing American, Barrier options and Lookback options in Kou model [128],[129], Pricing Fast pricing of American and barrier options under Levy processes[218], Tree methods[141]

22 Path Dependent Options in Exponential LÚvy models

23 Standard European Options in Stochastic volatility models with jumps

24 Pricing European options in affine jump-diffusion

25 Calibration in the Dupire Model

26 Calibration in Stochastic Volatility and Jump Model

27 Pricing Interest Rate Derivatives

27.1 Zero-Coupon Bond,Coupon Bearing,European, American Option on ZCB,Cap/Floor,Swaptions, Bermudan Swaptions

27.1.1 Vasicek,Hull-White,Hul-White 2D

27.1.8 Hunt Kennedy Pellser Markov-functional interest rate models

27.1.9 Affine Models

27.1.10 Multi-factor quadratic term structure models

28 Calibration Interest Rate Derivatives

29 Pricing Inflation Derivatives

30 Pricing Credit Risk Derivatives

30.0.11 Credit Default Swaps:Models Reduced form approaches on single name

30.0.12 CDO

31 Pricing Energy Derivatives

31.0.13 Swing Options

32 Pricing Volatility Product

32.0.14 Variance/Volatility Swap,Options on Realized Variance/Volatility

33 Pricing Insurance Derivatives

34 Risk

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