Rank: 1240 based on 73 downloads (last 30 days) and 2 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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01 May 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 30 1
  • 5.0
5.0 | 1 rating
25 Feb 2013 Screenshot 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
5.0 | 1 rating
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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);
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24 Apr 2013 Fast Matrixwise Black-Scholes Implied Volatility Calculates Black-Scholes Implied Volatility for Full Surface at High Speed Author: Mark Whirdy Deery, Feargal

simple and clean, this code dramatically speeds up calculating option implied vols. Especially useful for large surfaces. Thanks
06 Jan 2013 Merton Structural Credit Model Calculates Firm Asset Value, Asset Volatility, Debt Value, Credit Spread, Default Prob, Exp-Recovery Author: Mark Whirdy Whirdy, Mark

Top Tags Applied by Mark
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finance, ball picking, black scholes, blacklitterman, blackscholes
Files Tagged by Mark View all
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Updated   File Tags Downloads
(last 30 days) 		Comments Rating
01 May 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 30 1
  • 5.0
5.0 | 1 rating
25 Feb 2013 Screenshot 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
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 102 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 30 2
  • 5.0
5.0 | 1 rating
13 Mar 2009 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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