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Feeds
Inviato
ZABR Stochastic Volatility Smile Modelling
This is a toy implementation of the ZABR Model from Andreasen and Huge
oltre 11 anni fa | 846 download |
Inviato
Hedge Analysis
Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance
quasi 14 anni fa | 2265 download |
Inviato
Student VaR / CVaR
Student VaR and CVaR against Gaussian risk figures
quasi 14 anni fa | 1954 download |
Inviato
Optimization and Calibration
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.
quasi 14 anni fa | 3498 download |
Inviato
The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
quasi 14 anni fa | 2284 download |
Inviato
Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
quasi 14 anni fa | 1425 download |
Inviato
COS Method (Multiple Strikes, Bermudan, Greeks)
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
quasi 14 anni fa | 1753 download |
Inviato
Modern Pricing Method using Transforms
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
quasi 14 anni fa | 2297 download |
Inviato
Matlab Basics
Illustration of the stuff of Chapter 11 of the book
quasi 14 anni fa | 1762 download |
Inviato
Pricing and Calibration Framework (Object Oriented)
Object Oriented Framework for Pricing, Calibration and Hedging.
quasi 14 anni fa | 2421 download |
Inviato
Monte Carlo Simulation and Derivatives Pricing
Monte Carlo Schemes for advanced models and pricing of derivatives
circa 14 anni fa | 3311 download |
Inviato
Heston and SABR Unbiased Schemes
Unbiased Schemes for Heston and SABR.
circa 14 anni fa | 1730 download |
Inviato
American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
circa 14 anni fa | 2041 download |
Inviato
Fixed Grid and Stochastic Grid Monte Carlo Sampling
We cover two methods for sampling from Jump Diffusion Models
circa 14 anni fa | 1607 download |
Inviato
Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
circa 14 anni fa | 1610 download |
Inviato
Risk Neutral Densities for Financial Models
Risk neutral densities for advanced financial models used for option pricing
circa 14 anni fa | 2110 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 14 anni fa | 1558 download |
Inviato
FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
oltre 14 anni fa | 3047 download |
