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Kienitz Wetterau FinModelling
Financial Modelling
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Professional Interests: Option Pricing, Risk Management, Mathematical Finance
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Feeds
Enviada
ZABR Stochastic Volatility Smile Modelling
This is a toy implementation of the ZABR Model from Andreasen and Huge
más de 9 años hace | 5 descargas |
Enviada
Hedge Analysis
Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance
casi 12 años hace | 1 descarga |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/38361/versions/1/screenshot.jpg)
Enviada
Student VaR / CVaR
Student VaR and CVaR against Gaussian risk figures
casi 12 años hace | 2 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/38362/versions/1/screenshot.jpg)
Enviada
Optimization and Calibration
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.
casi 12 años hace | 4 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/38359/versions/1/screenshot.jpg)
Enviada
The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
casi 12 años hace | 1 descarga |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/38322/versions/1/screenshot.jpg)
Enviada
Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
casi 12 años hace | 2 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/38324/versions/1/screenshot.jpg)
Enviada
COS Method (Multiple Strikes, Bermudan, Greeks)
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
casi 12 años hace | 2 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/37617/versions/2/screenshot.jpg)
Enviada
Modern Pricing Method using Transforms
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
casi 12 años hace | 1 descarga |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/37616/versions/2/screenshot.jpg)
Enviada
Matlab Basics
Illustration of the stuff of Chapter 11 of the book
casi 12 años hace | 2 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/38325/versions/1/screenshot.jpg)
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Pricing and Calibration Framework (Object Oriented)
Object Oriented Framework for Pricing, Calibration and Hedging.
casi 12 años hace | 3 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/38323/versions/1/screenshot.jpg)
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Monte Carlo Simulation and Derivatives Pricing
Monte Carlo Schemes for advanced models and pricing of derivatives
alrededor de 12 años hace | 5 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/37618/versions/1/screenshot.jpg)
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Heston and SABR Unbiased Schemes
Unbiased Schemes for Heston and SABR.
alrededor de 12 años hace | 3 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/37619/versions/1/screenshot.jpg)
Enviada
American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
alrededor de 12 años hace | 3 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/37620/versions/1/screenshot.jpg)
Enviada
Fixed Grid and Stochastic Grid Monte Carlo Sampling
We cover two methods for sampling from Jump Diffusion Models
alrededor de 12 años hace | 2 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/37621/versions/1/screenshot.jpg)
Enviada
Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
alrededor de 12 años hace | 2 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/37622/versions/1/screenshot.jpg)
Enviada
Risk Neutral Densities for Financial Models
Risk neutral densities for advanced financial models used for option pricing
alrededor de 12 años hace | 2 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/36966/versions/1/screenshot.jpg)
Enviada
CMS Spread Caps Stochastic Local Volatility Libor Market Model
Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.
alrededor de 12 años hace | 1 descarga |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/36812/versions/1/screenshot.jpg)
Enviada
FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
alrededor de 12 años hace | 4 descargas |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/36563/versions/1/screenshot.jpg)