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Derivatives Pricing With Accelerated Trinomial Trees, Conall O'Sullivan, Stephen O'Sullivan
Derivatives Pricing With Accelerated Trinomial Trees, Conall O'Sullivan, Stephen O'Sullivan
Articles
Accelerated Trinomial Trees (ATTs) are a derivatives pricing lattice method that circumvent the restrictive time step condition inherent in standard trinomial trees and explicit finite difference methods (FDMs) in which the time step must scale with the square of the spatial step. ATTs consist of L uniform supersteps each of which contains an inner lattice/trinomial tree with N non-uniform subtime steps. Similarly to implicit FDMs, the size of the superstep in ATTs, a function of N, are constrained primarily by accuracy demands. ATTs can price options up to N times faster than standard trinomial trees (explicit FDMs). ATTs can be …
Risk Management Trends: Currency Trading Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy
Risk Management Trends: Currency Trading Using The Fractal Market Hypothesis, Jonathan Blackledge, Kieran Murphy
Articles
We report on a research and development programme in financial modelling and economic security undertaken in the Information and Communications Security Research Group (ICSRG, 2011) which has led to the launch of a new company - Currency Traders Ireland Limited - funded by Enterprise Ireland. Currency Traders Ireland Limited (CTI, 2011) has a fifty year exclusive license to develop a new set of indicators for analysing currency exchange rates (Forex trading). We consider the background to the approach taken and present examples of the results obtained to date. In this ‘Introduction’, we provide a background to and brief overview of …