Files Posted by Mark Whirdy 
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27 Jun 2013 

Fast Matrixwise BlackScholes Implied Volatility Calculates BlackScholes Implied Volatility for Full Surface at High Speed
Author: Mark Whirdy 
blackscholes, impliedvolatility, impvol, finance, quant, quantitative 
43 
7 
5.0 
3 ratings

28 May 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 
merton, options, finance, quant finance, stochastic model, levy model 
21 
1 
5.0 
1 rating

14 May 2013 

Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, ExpRecovery
Author: Mark Whirdy 
credit, merton, structural credit mod..., finance, quantitative finance, structural model 
21 
7 
5.0 
2 ratings

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02 Oct 2014 
Fast Matrixwise BlackScholes Implied Volatility
Calculates BlackScholes Implied Volatility for Full Surface at High Speed
Author: Mark Whirdy



30 Sep 2014 
Fast Matrixwise BlackScholes Implied Volatility
Calculates BlackScholes Implied Volatility for Full Surface at High Speed
Author: Mark Whirdy



15 Jun 2014 
Riskneutral density recovery via spectral analysis
Implementation of Monnier (2013) "RND recovery via spectral analysis"
Author: Matthias Held



21 Apr 2014 
Merton Structural Credit Model (Matrixwise Solver)
Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, ExpRecovery
Author: Mark Whirdy



07 Apr 2014 
Merton Structural Credit Model (Matrixwise Solver)
Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, ExpRecovery
Author: Mark Whirdy



Files Matching Mark Whirdy's Watch List 
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Updated 

File 
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27 Jun 2013 

Fast Matrixwise BlackScholes Implied Volatility Calculates BlackScholes Implied Volatility for Full Surface at High Speed
Author: Mark Whirdy 
blackscholes, impliedvolatility, impvol, finance, quant, quantitative 
43 
7 
5.0 
3 ratings

28 May 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 
merton, options, finance, quant finance, stochastic model, levy model 
21 
1 
5.0 
1 rating

14 May 2013 

Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, ExpRecovery
Author: Mark Whirdy 
credit, merton, structural credit mod..., finance, quantitative finance, structural model 
21 
7 
5.0 
2 ratings


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