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Preliminaries

• Preliminaries

Single Asset Options

• European Put and Call Options (Vanilla)
• Digital Options(*)
• Barrier Options(CD)
• Rebates (One-touch Options)(*)
• Dangerous Digitals(*)
• Paylater(*)
• Forward Start Options(CD)
• European Compound Options (Compound)(*)
• Asian Options fixed strike geometric average put and call(*)

Multi Asset Options (Rainbow Options)

• Cholesky Decomposition(*)
• Implied FX correlation(*)
• Basket(*)
• Spread Options(*)
• Options on the Minimum/Maximum(*)
• Outside Barriers(*)

Stochastic Volatility Models

• Heston's Stochastic Volatility Model(*)
• Schöbel and Zhu (Stein and Stein for zero correlation)(CD)

Term Structure Models

• Hull-White Bond Options(*)
• Properties of the Cox-Ingersoll-Ross process(CD)