Equity Option - Pricing Engine / Practitioner Models

Composed with all encompassing industry quant models, this elaborate pricing engine gives you prices for your equity derivatives instantly and online.
1) Standard Black Scholes Merton (BSM) pricing along with greeks gives you benchmark upon which other model outputs could be benchmarked.
2) Two Monte Carlo simulation variants solve the high discrepancy and normal deviate issues. Stock return distribution chart validates the brownian motion and normal deviates.
3) MonteCarlo Antithetic model employ MersenneTwister for better uniform random. Box-Muller transformation maps the uniform random to standard normal deviate.
4) MonteCarlo Sobol model employ widely used Quasi random sequence generator (Sobol).
5) Binomial Model provides an intuitive CRR tree with option prices along all time steps.
6) Trinomial CRR tree [lamda=sqrt(3/2)] achieves better convergence and just like binomial provies an intuitive rendering and supports unlimited maturity and timestep flexibility.
7) Explicit finite difference scheme model employ the Dirichlt boundary conditions to build the lattice that's intuitively rendered in the tool.

Here's the tool! Jump in:


A one stop collection (dashboard) of all my tools are available at www.sivamoturi.com

Rent or Buy A Home – Tool for fiscally prudent souls

This silverlight-based tool (simillar to flash, but from microsoft..your browser might have it already or prompts for it if not) attempts to bring clarity to your decision making in terms of home buying. It Allows you to key-in basic data about mortgage and gives you the following:

• Returns that you could expect on your money going towards home every year versus renting out.


• Wealth that would be accumulated by you in comparison to renting out over the entire time-horizon.


• Simple graphs to let you visualize the impact on wealth as a result of a broader house-price-appreciation and holding period range (ex: 10-40% price-upside over the next 5-10yrs).


• A better answer to this question: “Am i better off renting a house?”, each and every time you have a house in your mind.

Assumptions:
It doesn’t attempt to quantify the intangible non-financial benefits (Quality of life improvement,..).
Rent inflation, interest payment tax deduction, property taxes, hoa and insurance are considered in the analysis.

So, make your homebuying decision a well informed and prudent step from financial standpoint! Here’s the tool:

Portfolio Manager and Optimizer

This portfolio tool helps you construct a markowitz frontier for equities you have chosen from the list.  It also builds the CML (capital Market Line) from your risky-assets.

It finally shows you all mean-variance efficient portfolios that you can choose from, based on your risk aversion. For every possible risk, it gives the highest return and best asset allocation.

Note:

1. The list is pre-canned 100 stocks of S&P 100 list. The returns shown were historic 10 yr monthly returns (Jan1998 to Dec2008).
   
2. The optimization for mean variance frontier subject to constraints had been performed using Lagrange Multipiers and differential calculus.
3. Discovering the market portfolio of chosen risk-assets was done using linear algebra involving matrix calc.

The next phase of it will include more complex and sophisticated extensions like black-litterman and Treynor-Black models.

Real Estate Investment Analysis Tool

key in the property info and this tool gives you after-tax cashflow by year and helps you understand the impact of several factors (mortgage rate, NOI growth, Holding Period, Appreciation) on you return.