Rank: 722 based on 211 downloads (last 30 days) and 9 files submitted
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Rodolphe Sitter

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Company/University
University of Chicago
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40.75903701782227, -73.98124694824219

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Files Posted by Rodolphe Sitter View all
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(last 30 days)
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07 Dec 2010 Screenshot Bootstrapping Yield Curve Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results. Author: Rodolphe Sitter bootstrap, bootstrapping, bond, bonds, zero coupon, yield 32 2
  • 5.0
5.0 | 2 ratings
07 Nov 2009 Screenshot Heston Option Pricer Compute European call option price using the Heston model and a conditional Monte-Carlo method Author: Rodolphe Sitter finance, stochastic, volatility, skew, smile, montecarlo 25 1
04 Jun 2009 Log-Uniform Jump-Diffusion Model European call option price and implied volatility for a Log-Uniform Jump-Diffusion model. Author: Rodolphe Sitter finance, loguniform, jump, diffusion, poisson, process 17 3
  • 4.5
4.5 | 2 ratings
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 13 0
31 Mar 2009 Screenshot Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter volatility, surface, implied volatility, blackscholes, black, scholes 63 7
  • 5.0
5.0 | 1 rating
Comments and Ratings by Rodolphe Sitter View all
Updated File Comments Rating
22 Jun 2009 Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter

Dear George,
I used the fzero command is my code which uses an algorithm originated by T. Dekker: a combination of bisection, secant, and inverse quadratic interpolation methods.
Matlab has the advantage of having a lot of built-in functions like this that you can use to make coding easier. When coding, you don't actually need to write your own algorithms but you should use the available Matlab functions who do the hard work for you.
I hope it answers you question.
thx for the feedback.

04 Jun 2009 Log-Uniform Jump-Diffusion Model European call option price and implied volatility for a Log-Uniform Jump-Diffusion model. Author: Rodolphe Sitter

Thanks Kim, I fixed the bug, it is now stable for a large number of Monte-Carlo simulations

22 May 2009 Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter

Yes you can just modify the output of the function BlackScholesPricer so that it gives you the put price instead of the call price.
Alternatively you can convert the put prices into call prices using the put-call parity so that you don't have to modify the code.
Hope it helps

31 Jan 2009 Plot Some Paths This application allows you to generate and visualize some random paths Author: Rodolphe Sitter

Thanks Hairi,

It would indeed be a good idea to make it more flexible, I just haven't gotten around to doing this.
Could you kindly describe what your functions "sedddo"and "simByEuler" do ?

Cheers,
Rodolphe

26 Jan 2009 Exponential analysis Performs a fast exponential analysis on the POT dataset stored in array X. Author: Pieter Van Gelder

Very useful for financial data analysis !

Comments and Ratings on Rodolphe Sitter's Files View all
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31 Oct 2012 Plot Some Paths This application allows you to generate and visualize some random paths Author: Rodolphe Sitter Stefan

16 Jul 2012 Bootstrapping Yield Curve Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results. Author: Rodolphe Sitter Amelie

%% Schedule.CashFlowSchedule - Times where future cash flows are paid.
This is common to all bonds. This needs inputing in years from today and accounting for the right day count convention.

--
I don´t get it..could you give me an example? Thank you!!!

29 Jan 2011 Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter Marc

I like the kernel smoothing part ! thks for sharing

29 Jan 2011 Bootstrapping Yield Curve Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results. Author: Rodolphe Sitter Marc

nice work

23 Jun 2010 Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter Darren

Dear Rodolphe,
In follow up to my previous question: More important than the graph, shouldn't the surface structure return T, M, and IV to Example 1 (once I comment out the graphing issue)? I receive empty matrices.

Output:
Elapsed time is 0.552350 seconds.
>> whos
Name Size Bytes Class Attributes

CallPrice 721x1 5768 double
Maturity 721x1 5768 double
S0 1x1 8 double
SPX 723x4 23136 double
Strike 721x1 5768 double
r 1x1 8 double
surface 1x1 636 struct

>> surface

surface =
hT: NaN
hM: NaN
T: [0x2 double]
M: [0x2 double]
IV: [1x0 double]

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