Rank: 154 based on 552 downloads (last 30 days) and 17 files submitted
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Kienitz Wetterau FinModelling

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Financial Modelling

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Professional Interests:
Option Pricing, Risk Management, Mathematical Finance

 

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Files Posted by Kienitz Wetterau View all
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(last 30 days)
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26 Sep 2012 Screenshot Optimization and Calibration We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. Author: Kienitz Wetterau FinModelling heston, optimizer, sqp, boundary, calibration 66 2
  • 5.0
5.0 | 5 ratings
26 Sep 2012 Screenshot Hedge Analysis Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance Author: Kienitz Wetterau FinModelling hedging, dax, deltagamma, mean variance hedge, simulation 36 0
26 Sep 2012 Screenshot Student VaR / CVaR Student VaR and CVaR against Gaussian risk figures Author: Kienitz Wetterau FinModelling var, cvar, student, gauss 33 0
25 Sep 2012 Screenshot The SABR Model - Densities and MC Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method Author: Kienitz Wetterau FinModelling sabr, kienitz, doust, implied volatility, density, stochastic volatility 28 1
25 Sep 2012 Screenshot Pricing and Calibration Framework (Object Oriented) Object Oriented Framework for Pricing, Calibration and Hedging. Author: Kienitz Wetterau FinModelling pricing, calibration, forward start options, characteristic functi..., optimization, variance gamma 26 1
  • 5.0
5.0 | 1 rating
Comments and Ratings on Kienitz Wetterau's Files View all
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14 Feb 2014 American Monte Carlo Algorithms for pricing American Style derivatives with Monte Carlo Simulation Author: Kienitz Wetterau FinModelling Li

06 Oct 2013 The SABR Model - Densities and MC Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method Author: Kienitz Wetterau FinModelling Nekrasov, Roman

The best!

27 Aug 2013 Monte Carlo Simulation and Derivatives Pricing Monte Carlo Schemes for advanced models and pricing of derivatives Author: Kienitz Wetterau FinModelling Marvin

04 Aug 2013 FinancialModelling_Ch2_ImpliedVolatility Carr-Madan and Lewis pricing methods using FFT for many advanced financial models Author: Kienitz Wetterau FinModelling Maxime

Also, The Carr and Madan approach used another formula for pricing out-of-the-money call (indeed the formula for ITM call options is based on the intrinsic value and therefore does not apply to OTM call options).

Why do we not consider another formula for OTM options?

04 Aug 2013 FinancialModelling_Ch2_ImpliedVolatility Carr-Madan and Lewis pricing methods using FFT for many advanced financial models Author: Kienitz Wetterau FinModelling Maxime

Hi,

I am trying to use your codes and price the same option with both HestonHullWhite characteristic function and hhw characteristic function.

I want to match both prices. For this reason, I set the correlation rho13 equal to zero in the hhw characteristic function.

But how do I get r0 so that the prices match? I tried from the ircurve but did not succeed... Some help?

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