Mark Whirdy
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http://www.linkedin.com/pub/mark-whirdy/6/a51/159 Professional Interests: Credit & Equity Quantitative Finance
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calcBSImpVol(cp,P,S,K,T,r,q)
Calculates Black-Scholes Implied Volatility for Full Surface at High Speed
7 years 前 | 3 次下载 |
已提交
Merton Jump Diffusion Option Price (Matrixwise)
Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface
11 years 前 | 3 次下载 |
已提交
Merton Structural Credit Model (Matrixwise Solver)
Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery
11 years 前 | 2 次下载 |