Rank: 1947 based on 61 downloads (last 30 days) and 3 files submitted
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Matthias Held

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(last 30 days)
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12 Aug 2014 Screenshot CFH Toolbox (Characteristic Function Option Pricing) Implementation of Option Pricing Transform Methods Author: Matthias Held transform methods, characteristic functi..., option pricing, implied density, affine jump diffusion, toolbox 36 5
  • 5.0
5.0 | 3 ratings
30 Jul 2014 Option Implied Moments Compute implied return distribution moments and prices for return power contracts Author: Matthias Held implied density, implied moments, volatility, vix, option pricing 14 0
20 Mar 2013 Screenshot Risk-neutral density recovery via spectral analysis Implementation of Monnier (2013) "RND recovery via spectral analysis" Author: Matthias Held finance, statistics, risk neutral density, implied density, option implied densit... 11 1
  • 3.5
3.5 | 2 ratings
Comments and Ratings by Matthias Held View all
Updated File Comments Rating
30 Aug 2014 CFH Toolbox (Characteristic Function Option Pricing) Implementation of Option Pricing Transform Methods Author: Matthias Held

Hi Henry,
thanks. At the moment, you can get sensitivity analysis for your model (first order greeks) from the "cfh" GUI function.

I will add a sensitivity function in an upcoming update, though! thanks for the hint.

11 Aug 2014 CFH Toolbox (Characteristic Function Option Pricing) Implementation of Option Pricing Transform Methods Author: Matthias Held

Hi Marcel,

the upper range of integration can be specified see, for example,

>> help cf2call

I have embodied a double exponential jump specification, but will update this part some time in the near future as well. Hints are always appreciated.

14 Jun 2014 Minesweeper Minesweeper GUI with classical graphics, a persistent leaderboard, and an auto-solution engine Author: Brian Moore

Very nice contribution!

Comments and Ratings on Matthias Held's Files View all
Updated File Comment by Comments Rating
30 Aug 2014 CFH Toolbox (Characteristic Function Option Pricing) Implementation of Option Pricing Transform Methods Author: Matthias Held Matthias Held

Hi Henry,
thanks. At the moment, you can get sensitivity analysis for your model (first order greeks) from the "cfh" GUI function.

I will add a sensitivity function in an upcoming update, though! thanks for the hint.

28 Aug 2014 CFH Toolbox (Characteristic Function Option Pricing) Implementation of Option Pricing Transform Methods Author: Matthias Held Henry

Hi Matthias,
thank you for such a great toolbox. I would like to suggest to include a sensitivity analysis function to calculate the greeks.
Thanks again.

11 Aug 2014 CFH Toolbox (Characteristic Function Option Pricing) Implementation of Option Pricing Transform Methods Author: Matthias Held Matthias Held

Hi Marcel,

the upper range of integration can be specified see, for example,

>> help cf2call

I have embodied a double exponential jump specification, but will update this part some time in the near future as well. Hints are always appreciated.

11 Aug 2014 CFH Toolbox (Characteristic Function Option Pricing) Implementation of Option Pricing Transform Methods Author: Matthias Held Luis

Great Toolbox

11 Aug 2014 CFH Toolbox (Characteristic Function Option Pricing) Implementation of Option Pricing Transform Methods Author: Matthias Held Marcel

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