Statistiques
18 Fichiers
RANG
N/A
of 302 248
RÉPUTATION
N/A
CONTRIBUTIONS
0 Questions
0 Réponses
ACCEPTATION DE VOS RÉPONSES
0.00%
VOTES REÇUS
0
RANG
431 of 21 641
RÉPUTATION
3 875
CLASSEMENT MOYEN
4.80
CONTRIBUTIONS
18 Fichiers
TÉLÉCHARGEMENTS
98
ALL TIME TÉLÉCHARGEMENTS
37617
RANG
of 180 571
CONTRIBUTIONS
0 Problèmes
0 Solutions
SCORE
0
NOMBRE DE BADGES
0
CONTRIBUTIONS
0 Publications
CONTRIBUTIONS
0 Public Chaîne
CLASSEMENT MOYEN
CONTRIBUTIONS
0 Point fort
NOMBRE MOYEN DE LIKES
Feeds
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 | 849 téléchargements |
A soumis
Hedge Analysis
Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance
environ 14 ans il y a | 2269 téléchargements |
A soumis
Student VaR / CVaR
Student VaR and CVaR against Gaussian risk figures
environ 14 ans il y a | 1957 téléchargements |
A soumis
Optimization and Calibration
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.
environ 14 ans il y a | 3501 téléchargements |
A soumis
The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
environ 14 ans il y a | 2288 téléchargements |
A soumis
Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
environ 14 ans il y a | 1429 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
environ 14 ans il y a | 1762 téléchargements |
A soumis
Modern Pricing Method using Transforms
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
environ 14 ans il y a | 2304 téléchargements |
A soumis
Matlab Basics
Illustration of the stuff of Chapter 11 of the book
environ 14 ans il y a | 1766 téléchargements |
A soumis
Pricing and Calibration Framework (Object Oriented)
Object Oriented Framework for Pricing, Calibration and Hedging.
environ 14 ans il y a | 2426 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 | 3314 téléchargements |
A soumis
Heston and SABR Unbiased Schemes
Unbiased Schemes for Heston and SABR.
environ 14 ans il y a | 1735 téléchargements |
A soumis
American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
environ 14 ans il y a | 2044 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 | 1611 téléchargements |
A soumis
Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
environ 14 ans il y a | 1613 téléchargements |
A soumis
Risk Neutral Densities for Financial Models
Risk neutral densities for advanced financial models used for option pricing
plus de 14 ans il y a | 2120 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.
plus de 14 ans il y a | 1569 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 | 3060 téléchargements |
