Feeds
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ZABR Stochastic Volatility Smile Modelling
This is a toy implementation of the ZABR Model from Andreasen and Huge
10 years 前 | 2 次下载 |
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Hedge Analysis
Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance
12 years 前 | 2 次下载 |
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Optimization and Calibration
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.
12 years 前 | 3 次下载 |
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The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
12 years 前 | 2 次下载 |
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Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
12 years 前 | 2 次下载 |
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COS Method (Multiple Strikes, Bermudan, Greeks)
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
12 years 前 | 7 次下载 |
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Modern Pricing Method using Transforms
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
12 years 前 | 3 次下载 |
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Pricing and Calibration Framework (Object Oriented)
Object Oriented Framework for Pricing, Calibration and Hedging.
12 years 前 | 2 次下载 |
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Monte Carlo Simulation and Derivatives Pricing
Monte Carlo Schemes for advanced models and pricing of derivatives
12 years 前 | 4 次下载 |
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American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
12 years 前 | 2 次下载 |
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Fixed Grid and Stochastic Grid Monte Carlo Sampling
We cover two methods for sampling from Jump Diffusion Models
12 years 前 | 2 次下载 |
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Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
12 years 前 | 2 次下载 |
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Risk Neutral Densities for Financial Models
Risk neutral densities for advanced financial models used for option pricing
13 years 前 | 3 次下载 |
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CMS Spread Caps Stochastic Local Volatility Libor Market Model
Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.
13 years 前 | 2 次下载 |
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FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
13 years 前 | 6 次下载 |
