Elvin

 

Top Tags Applied by Elvin	1 - 4 of 4
econometricsgarchsderandommathematics, graph, lattice, potw

Files Tagged by Elvin					1 - 1 of 1
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
07 Jan 2009		Random Walks in MATLAB Files which simulate random walks on a lattice and on a graph Author: Mark Hoyle	graph, lattice, potw, econometricsgarchsder..., pick of the week	51	1	4.0 4.0 | 1 rating

Files Matching Elvin's Watch List					View all 1 - 5 of 13
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
15 Jun 2011		Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices Author: Moeti Ncube	heston model, calibration, option pricing	49	11	5.0 5.0 | 1 rating
06 Jan 2011		Simulation of CEV process Constant Elasticity of Variance (CEV) process Author: Moeti Ncube	monte carlo methods, cev process, constant elasticity o...	4	0
28 Apr 2009		cellhist Plots a Histogram based on cell string array. Author: Tal Shir	hist, histogram, cell, char, string	4	0
17 Apr 2009		Foreign Exchange Options Valuation of European and American options on foreign exchange using Garman-Kohlhagen model Author: Rodolphe Sitter	finance, foreign exchange, fx, option, pricing, american	5	0
17 Mar 2009		scatter_histhist.m Takes vectors X and Y makes a scatter plot of X vs. Y and histograms of X and Y Author: Jeffrey	data exploration, plot, histogram, scatter, axes	5	0

Comments and Ratings Matching Elvin's Watch List			1-5 of 46
Date	File	Comment by	Comments	Rating
22 Oct 2011	Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices	TingFu	Dear Moeti Ncube Thanks for your code, it does help me a lot! But I have a question for results. In general, the simulated price should be very close to the Heston model price, right? But why it seem that there is a gap between "simhes" and "modhes"?	Comment only
06 Oct 2011	LMFsolve.m: Levenberg-Marquardt-Fletcher algorithm for nonlinear least squares problems LMFsolve.m finds least-squares solution of an overdetermined system of nonlinear equations	Julien Piot	Thank you, Professor Balda. Very useful.	5
25 Apr 2011	Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices	Tilburg University		5
03 Mar 2011	Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices	Moeti Ncube	Yankun, sorry I could never get your code to work. Perhaps you can send folder in zip format with your revision and I will try to run again.	Comment only
23 Feb 2011	Heston Model Calibration and Simulation Calibrated the Heston Model to market Option prices	Yankun	Sorry, I made a mistake. I mean your HestonCall.m doesn't work correctly when parameters such as St,K,r,T,vt,kap,th,sig,rho,lda are vectors instead of scalars.	Comment only