Rank: 1386 based on 86 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)
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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 34 2
  • 5.0
5.0 | 2 ratings
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 27 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, merton, structural credit mod..., finance, quantitative finance, structural model 25 7
  • 5.0
5.0 | 2 ratings
Comments and Ratings by Mark View all
Updated File Comments Rating
15 Jun 2014 Risk-neutral density recovery via spectral analysis Implementation of Monnier (2013) "RND recovery via spectral analysis" Author: Matthias Held

Hi Matthias

Some nice work here, just looking through it all now. One small suggestion is to replace your complex "i" with "1i" which will speed things up marginally.

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

There is a bug with Microsoft's SDK 7.1 which Matlab have provided a troubleshoot for at

http://www.mathworks.co.uk/matlabcentral/answers/101105-how-do-i-install-microsoft-windows-sdk-7-1

Hope this helps

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

Hi Joacim - possible incompatability between the compiler you installed and the version of matlab?

http://www.mathworks.co.uk/support/sysreq/previous_releases.html

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

Comments and Ratings on Mark's Files View all
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21 Apr 2014 Merton Structural Credit Model (Matrixwise Solver) Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery Author: Mark Whirdy Whirdy, Mark

There is a bug with Microsoft's SDK 7.1 which Matlab have provided a troubleshoot for at

http://www.mathworks.co.uk/matlabcentral/answers/101105-how-do-i-install-microsoft-windows-sdk-7-1

Hope this helps

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

Hi Joacim - possible incompatability between the compiler you installed and the version of matlab?

http://www.mathworks.co.uk/support/sysreq/previous_releases.html

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

Im trying to follow the instructions in a previous comment, setting up mtimesx, but it wont work. It seems like Matlab can't find any compliers even though I installed them, any suggestions on what to do?

04 Oct 2013 Fast Matrixwise Black-Scholes Implied Volatility Calculates Black-Scholes Implied Volatility for Full Surface at High Speed Author: Mark Whirdy Marco

I worked with it for a couple of hours and so far so good. Fast and smooth.

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

user-friendly and fast calculating implementation of the Merton model.
fast adaptable and convenient for sensitivty analysis

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