| Files Posted by Mark |
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| 01 May 2013 |
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Fast Matrixwise Black-Scholes Implied Volatility Calculates Black-Scholes Implied Volatility for Full Surface at High Speed
Author: Mark Whirdy |
blackscholes, impliedvolatility, impvol, finance, quant, quantitative |
30 |
1 |
5.0 |
1 rating
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| 25 Feb 2013 |
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Merton Structural Credit Model Calculates Firm Asset Value, Asset Volatility, Debt Value, Credit Spread, Default Prob, Exp-Recovery
Author: Mark Whirdy |
credit, structural model, finance, structural credit mod..., quantitative finance, merton |
43 |
0 |
5.0 |
1 rating
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| Files Tagged by Mark |
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| 01 May 2013 |
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Fast Matrixwise Black-Scholes Implied Volatility Calculates Black-Scholes Implied Volatility for Full Surface at High Speed
Author: Mark Whirdy |
blackscholes, impliedvolatility, impvol, finance, quant, quantitative |
30 |
1 |
5.0 |
1 rating
|
| 25 Feb 2013 |
|
Merton Structural Credit Model Calculates Firm Asset Value, Asset Volatility, Debt Value, Credit Spread, Default Prob, Exp-Recovery
Author: Mark Whirdy |
credit, structural model, finance, structural credit mod..., quantitative finance, merton |
43 |
0 |
5.0 |
1 rating
|
| 15 Jun 2011 |
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Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices
Author: Moeti Ncube |
calibration, heston model, option pricing, svm, stochastic volatility, finance |
102 |
12 |
5.0 |
1 rating
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| 09 May 2011 |
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Fully Flexible Views and Stress-testing Full generalization of Black-Litterman and related techniques via entropy pooling
Author: Attilio Meucci |
blacklitterman, analysis, finance, monte carlo, change of measure, modeling |
30 |
2 |
5.0 |
1 rating
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| 13 Mar 2009 |
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CDS pricer This short routine calculates the mark-to-market price of a credit default swap.
Author: Rogier Swierstra |
bloomberg, analysis, finance |
12 |
0 |
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| Files Matching Mark's Watch List |
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| 01 May 2013 |
|
Fast Matrixwise Black-Scholes Implied Volatility Calculates Black-Scholes Implied Volatility for Full Surface at High Speed
Author: Mark Whirdy |
blackscholes, impliedvolatility, impvol, finance, quant, quantitative |
30 |
1 |
5.0 |
1 rating
|
| 25 Feb 2013 |
|
Merton Structural Credit Model Calculates Firm Asset Value, Asset Volatility, Debt Value, Credit Spread, Default Prob, Exp-Recovery
Author: Mark Whirdy |
credit, structural model, finance, structural credit mod..., quantitative finance, merton |
43 |
0 |
5.0 |
1 rating
|
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