The following popular Model is now available free of charge.

Equity European Option Pricing Model
This Excel version of the one variation on the famous Black – Scholes option pricing model can be used to price European style calls and puts on individual equities or on equity indices in which the dividend is assumed to be paid continuously and is proportional (dividend yield) to the stock (or index) price. 

Price:  FREE
Revised October 2000

The following popular Models are now available for purchase.  Additional Models will be added to this list periodically.

American and European Options Pricing Using Binomial Trees
This Excel version of the Jarrow – Rudd adaptation of the binomial model (more efficient in many ways than the traditional Cox – Rubenstein model) allows pricing of both American and European options on equities, equity indices, commodities, and foreign exchange.  The model assumes that all rates (domestic and foreign interest rates, dividend yields, etc.) are continuous and proportional to the underlying spot value.  Models provided include 12, 25, and 100 nodes in order to provide an efficient trade-off between accuracy and computational efficiency.  (Users can easily copy the formulas in the spreadsheet and extend the model to any number of nodes they wish.)

Price:  $39.95
Revised October 2000

Estimating Credit Exposure in Interest Rate Swaps
This Excel model develops a methodology for estimating various types of replacement cost (one or two standard deviation as well as fully-weighted expected) in an interest rate swap from the potential default of a counterparty.  The model allows for various shapes of the yield curve and volatilities of swap rates.

Price:  $39.95
Revised October 2000

Foreign Exchange European Options Pricing Model
This Excel version of the famous Garman – Kohlhagen foreign exchange option pricing model can be used to price European style calls and puts on all foreign exchange.  The model assumes that domestic and foreign interest rates are continuous and proportional  to the foreign exchange rate.

Price:  $29.95
Revised October 2000

Interest Rate Swap Hedging Model
This Excel model teaches how to use Libor futures and/or government bond positions to optimize the hedging of price risk on a single interest rate swap or a portfolio of interest rate swaps.

Price:  $49.95
Revised November 2000

Interest Rate Swap Pricing Model
This Excel model accurately prices and values interest rate swaps using current market yields as inputs.  Exact days (and good settlement dates) are incorporated into the model as well as an interpolation function for discount rates.

Price:  $49.95
Revised November 2000

Libor Cap and Floor Pricing Model
This Excel version of the Black (1976) Libor cap and floor pricing model can be used to price standard and structured caps and floors, including delayed start, stub-period, multiple strike rates, and amortizing/accreting principal amounts.  The model uses Libor futures or forward rates as inputs.  European style calls and puts on individual equities or on equity indices in which the dividend is assumed to be paid continuously and is proportional (dividend yield) to the stock (or index) price.

Price:  $49.95
Revised October 2000

Linear Optimization in Hedging Options Portfolios
This Excel model teaches how to use linear optimization (the Solver function in Excel) to calculate the most efficient hedges of options portfolios subject to various constraints, including market risk limits and market directional views.

Price:  $39.95
Revised October 2000

Option Pricing and Delta Hedging Model with Non-Standard Stochastic Processes
This Excel model teaches pricing and delta hedging for foreign exchange options in a world that violates many of the Black – Scholes conditions.  Specifically, this model calculates option prices through costs of hedging (replication) in a world of transaction costs, mean reversion, and jump – diffusion processes.

Price:  $39.95
Revised October 2000

Portfolio Value-at-Risk
This Excel model teaches the use of matrix algebra functions in Excel to calculate either the standard deviation or the value-at-risk of a portfolio of securities.

Price:  $39.95
Revised October 2000

If you do not want to use our secure online order form, please call (805) 962-5150 ext.100 to place your order over the phone.

All models can be delivered to you via electronic mail as a Microsoft Excel File within 2 business days of ordering.

Terms and Conditions of Model Sales

Global Markets Consultants, Ltd. reserves all rights to the Models. Models may not be reproduced or distributed except as permitted by law for personal use. 

All Models have been created for instructional purposes only and should not be used as a basis for pricing or executing financial transactions.

Volume discounts are available for qualified instructional use. 

If you are not satisfied with any model purchased from Global Markets Consultants, Ltd., please email us for a complete refund.