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Property Derivatives: The Next Big Thing (Finally)?: Wilmott Magazine Article
Derek Nesbitt 566 Views

In this article we discuss the growth of the Property Derivative market, with an emphasis on the inherent difficulties in building standard pricing models for derivatives on an illiquid market such as real estate. We begin with an overview of the development of the property derivative market in recent years, and the impact of recent events relating to property valuations.

Monte Carlo in Esperanto: Wilmott Magazine Article
Krishna Kumar 2654 Views

This article shows how a simple parser environment in Excel/VBA could be used to perform single and multi-dimensional Monte Carlo. The clsMathParser is a class for math expression evaluation in Excel/VBA. We show that a host of vanilla and exotic derivatives can be priced easily in this framework. The parser allows separation of concernand natural language expression of structured product payoffs.We provide test results for 1-dimensional and multi-dimensional options and sample spreadsheets.

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