Rodolphe Sitter

Actif depuis 2008

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Professional Interests: Modeling

A soumis

Bootstrapping Yield Curve
Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results.

environ 14 ans il y a | 2 téléchargements |

A soumis

Heston Option Pricer
Compute European call option price using the Heston model and a conditional Monte-Carlo method

plus de 15 ans il y a | 1 téléchargement |

A soumis

Log-Uniform Jump-Diffusion Model
European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.

plus de 15 ans il y a | 1 téléchargement |

A soumis

Foreign Exchange Options
Valuation of European and American options on foreign exchange using Garman-Kohlhagen model

presque 16 ans il y a | 2 téléchargements |

A soumis

Volatility Surface
Compute and Plot Volatility Surfaces from Market Prices

presque 16 ans il y a | 2 téléchargements |

A soumis

Brain Teaser Solver
Brain Teaser Solver: Compute the expected time to get a given sequence of independent outcomes.

presque 16 ans il y a | 1 téléchargement |

A soumis

Coin And Dice
Simulate the average number of tosses of coin/throws of dice to get a given sequence.

presque 16 ans il y a | 1 téléchargement |

A soumis

Plot Some Paths
This application allows you to generate and visualize some random paths

environ 16 ans il y a | 1 téléchargement |

A soumis

3D Plot for Greeks
Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call

environ 16 ans il y a | 2 téléchargements |

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