Kienitz Wetterau FinModelling

Financial Modelling

Attivo dal 2012

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Professional Interests: Option Pricing, Risk Management, Mathematical Finance

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Inviato

ZABR Stochastic Volatility Smile Modelling
This is a toy implementation of the ZABR Model from Andreasen and Huge

oltre 8 anni fa | 4 download |

Inviato

Hedge Analysis
Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance

circa 11 anni fa | 2 download |

Inviato

Student VaR / CVaR
Student VaR and CVaR against Gaussian risk figures

circa 11 anni fa | 2 download |

Inviato

Optimization and Calibration
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.

circa 11 anni fa | 2 download |

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The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method

circa 11 anni fa | 4 download |

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Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)

circa 11 anni fa | 2 download |

Inviato

COS Method (Multiple Strikes, Bermudan, Greeks)
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once

circa 11 anni fa | 3 download |

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Modern Pricing Method using Transforms
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.

circa 11 anni fa | 3 download |

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Matlab Basics
Illustration of the stuff of Chapter 11 of the book

circa 11 anni fa | 2 download |

Inviato

Pricing and Calibration Framework (Object Oriented)
Object Oriented Framework for Pricing, Calibration and Hedging.

circa 11 anni fa | 5 download |

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Monte Carlo Simulation and Derivatives Pricing
Monte Carlo Schemes for advanced models and pricing of derivatives

oltre 11 anni fa | 7 download |

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Heston and SABR Unbiased Schemes
Unbiased Schemes for Heston and SABR.

oltre 11 anni fa | 4 download |

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American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation

oltre 11 anni fa | 3 download |

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Fixed Grid and Stochastic Grid Monte Carlo Sampling
We cover two methods for sampling from Jump Diffusion Models

oltre 11 anni fa | 3 download |

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Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)

oltre 11 anni fa | 3 download |

Inviato

Risk Neutral Densities for Financial Models
Risk neutral densities for advanced financial models used for option pricing

oltre 11 anni fa | 5 download |

Inviato

CMS Spread Caps Stochastic Local Volatility Libor Market Model
Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.

oltre 11 anni fa | 3 download |

Inviato

FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models

oltre 11 anni fa | 5 download |

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Financial Modelling

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