Rank: 984 based on 75 downloads (last 30 days) and 3 files submitted
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Mark Whirdy

E-mail
Company/University
Pioneer Investments

Personal Profile:

http://www.linkedin.com/pub/mark-whirdy/6/a51/159

Professional Interests:
Credit & Equity Quantitative Finance

 

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Files Posted by Mark View all
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(last 30 days) 		Comments Rating
27 Jun 2013 Screenshot 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 32 1
  • 5.0
5.0 | 1 rating
28 May 2013 Screenshot Merton Jump Diffusion Option Price (Matrixwise) Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface Author: Mark Whirdy merton, options, finance, quant finance, stochastic model, levy model 18 1
  • 5.0
5.0 | 1 rating
14 May 2013 Screenshot Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery Author: Mark Whirdy credit, structural model, structural credit mod..., finance, quantitative finance, merton 25 3
  • 5.0
5.0 | 1 rating
Comments and Ratings by Mark View all
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16 May 2013 Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery Author: Mark Whirdy

To get mtimesx working, type

mex -setup

Select a compiler, [1] is the C compiler shipped with Matlab and will do

Then run

mtimesx_build

which will create a .mex32 file in your path. This is Matlabs "interface" to the C code
04 Mar 2013 Modern Pricing Method using Transforms COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options. Author: Kienitz Wetterau FinModelling

22 Feb 2013 American Monte Carlo Algorithms for pricing American Style derivatives with Monte Carlo Simulation Author: Kienitz Wetterau FinModelling

19 Dec 2011 VChooseK Choose K elements from a vector - MEX: 100 times faster than NCHOOSEK Author: Jan Simon

Hi Jan

I went to use this but came across a snag at the first hurdle, have you an idea of where the problem may lie?

==== Test VChooseK: 19-Dec-2011 18:15:35
Version: J:\Financial_Engineering\QUANT FIXED INCOME\...\VChooseK.m

== DOUBLE, K = 1:
Error in ==> VChooseK at 1
function Y = VChooseK(X, K)

??? Output argument "Y" (and maybe others) not assigned during call to "J:\Financial_Engineering\...\VChooseK.m>VChooseK".

Error in ==> TestVChooseK at 66
S = VChooseK(my_cast([], aClass), K);
Comments and Ratings on Mark's Files View all
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24 Jun 2013 Merton Jump Diffusion Option Price (Matrixwise) Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface Author: Mark Whirdy Justin Rodrigues

Excellent program, well written and knowledgable author. Was kind enough to answer my questions and showed me how to execute the program to fit my needs. Very professional and kind.

17 May 2013 Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery Author: Mark Whirdy Jung

16 May 2013 Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery Author: Mark Whirdy Whirdy, Mark

To get mtimesx working, type

mex -setup

Select a compiler, [1] is the C compiler shipped with Matlab and will do

Then run

mtimesx_build

which will create a .mex32 file in your path. This is Matlabs "interface" to the C code
16 May 2013 Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery Author: Mark Whirdy Tewolde, Henok

I really don't know why I am getting this error

Error using mtimesx_build (line 169)
A C/C++ compiler has not been selected with mex -setup
09 May 2013 Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery Author: Mark Whirdy Jaeho

This model is excellent! Very flexible and user-friendly. It's been very useful for calculating credit spreads of bonds with different asset values, and volatilities.

Top Tags Applied by Mark
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finance, merton, option pricing, ball picking, black scholes
Files Tagged by Mark View all
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Updated   File Tags Downloads
(last 30 days) 		Comments Rating
27 Jun 2013 Screenshot 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 32 1
  • 5.0
5.0 | 1 rating
28 May 2013 Screenshot Merton Jump Diffusion Option Price (Matrixwise) Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface Author: Mark Whirdy merton, options, finance, quant finance, stochastic model, levy model 18 1
  • 5.0
5.0 | 1 rating
14 May 2013 Screenshot Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery Author: Mark Whirdy credit, structural model, structural credit mod..., finance, quantitative finance, merton 25 3
  • 5.0
5.0 | 1 rating
15 Jun 2011 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 61 12
  • 5.0
5.0 | 1 rating
09 May 2011 Screenshot 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 32 2
  • 5.0
5.0 | 1 rating

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