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A soumis
ZABR Stochastic Volatility Smile Modelling
This is a toy implementation of the ZABR Model from Andreasen and Huge
plus de 11 ans il y a | 846 téléchargements |
A soumis
Hedge Analysis
Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance
presque 14 ans il y a | 2265 téléchargements |
A soumis
Student VaR / CVaR
Student VaR and CVaR against Gaussian risk figures
presque 14 ans il y a | 1954 téléchargements |
A soumis
Optimization and Calibration
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.
presque 14 ans il y a | 3498 téléchargements |
A soumis
The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
presque 14 ans il y a | 2284 téléchargements |
A soumis
Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
presque 14 ans il y a | 1425 téléchargements |
A soumis
COS Method (Multiple Strikes, Bermudan, Greeks)
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
presque 14 ans il y a | 1753 téléchargements |
A soumis
Modern Pricing Method using Transforms
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
presque 14 ans il y a | 2297 téléchargements |
A soumis
Matlab Basics
Illustration of the stuff of Chapter 11 of the book
presque 14 ans il y a | 1762 téléchargements |
A soumis
Pricing and Calibration Framework (Object Oriented)
Object Oriented Framework for Pricing, Calibration and Hedging.
presque 14 ans il y a | 2421 téléchargements |
A soumis
Monte Carlo Simulation and Derivatives Pricing
Monte Carlo Schemes for advanced models and pricing of derivatives
environ 14 ans il y a | 3311 téléchargements |
A soumis
Heston and SABR Unbiased Schemes
Unbiased Schemes for Heston and SABR.
environ 14 ans il y a | 1729 téléchargements |
A soumis
American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
environ 14 ans il y a | 2041 téléchargements |
A soumis
Fixed Grid and Stochastic Grid Monte Carlo Sampling
We cover two methods for sampling from Jump Diffusion Models
environ 14 ans il y a | 1607 téléchargements |
A soumis
Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
environ 14 ans il y a | 1610 téléchargements |
A soumis
Risk Neutral Densities for Financial Models
Risk neutral densities for advanced financial models used for option pricing
environ 14 ans il y a | 2110 téléchargements |
A soumis
CMS Spread Caps Stochastic Local Volatility Libor Market Model
Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.
environ 14 ans il y a | 1558 téléchargements |
A soumis
FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
plus de 14 ans il y a | 3047 téléchargements |
