Rank: 83 based on 607 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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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, boundary, sqp, optimizer, calibration 78 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 45 0
26 Sep 2012 Screenshot Student VaR / CVaR Student VaR and CVaR against Gaussian risk figures Author: Kienitz Wetterau FinModelling var, cvar, student, gauss 39 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 monte carlo, implied volatility, doust, kienitz, density, stochastic volatility 48 0
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 48 1
  • 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 Whirdy, Mark

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

18 Dec 2012 Optimization and Calibration We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. Author: Kienitz Wetterau FinModelling Roji

About chapter 9 in the book:

To replicate Heston calibration example (pag501), deopt.m in DeMat folder must be replaced by deopt.m in DeMat folder located at "Pricing and Calibration Framework (Object Oriented)".
11 Dec 2012 Optimization and Calibration We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. Author: Kienitz Wetterau FinModelling Roji

"Differential Evolution" subfolder is missing in the "Heston Caliration SQP, DE, SA" folder.

Kind Regards
09 Dec 2012 FinancialModelling_Ch2_ImpliedVolatility Carr-Madan and Lewis pricing methods using FFT for many advanced financial models Author: Kienitz Wetterau FinModelling Roji

Amazing book and code Sirs. Thank-you.

Just one issue: one running >> TestScriptVolSmileHeston
This error pops up:
Maximum variable size allowed by the program is exceeded.

Error in CallPricingFFT (line 53)
uvec = 1:FFT_N;

Error in TestScriptVolSmileHeston (line 52)
FFTopt(j,:) = CallPricingFFT('Heston',S,K,T(j),r,d,vInst,vLong,kappa,omega,rho);

Why is it?

Best Regards
Top Tags Applied by Kienitz Wetterau
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heston, sabr, monte carlo, stochastic volatility, bates
Files Tagged by Kienitz Wetterau View all
  • 1 - 5 of
  • 17
Updated   File Tags Downloads
(last 30 days) 		Comments Rating
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, boundary, sqp, optimizer, calibration 78 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 45 0
26 Sep 2012 Screenshot Student VaR / CVaR Student VaR and CVaR against Gaussian risk figures Author: Kienitz Wetterau FinModelling var, cvar, student, gauss 39 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 monte carlo, implied volatility, doust, kienitz, density, stochastic volatility 48 0
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 48 1
  • 5.0
5.0 | 1 rating

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