Files Posted by Rodolphe Sitter 
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07 Dec 2010 

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 
2 ratings

07 Nov 2009 

Heston Option Pricer Compute European call option price using the Heston model and a conditional MonteCarlo method
Author: Rodolphe Sitter 
finance, stochastic, volatility, skew, smile, montecarlo 
25 
1 

04 Jun 2009 

LogUniform JumpDiffusion Model European call option price and implied volatility for a LogUniform JumpDiffusion model.
Author: Rodolphe Sitter 
finance, loguniform, jump, diffusion, poisson, process 
17 
3 
4.5 
2 ratings

17 Apr 2009 

Foreign Exchange Options Valuation of European and American options on foreign exchange using GarmanKohlhagen model
Author: Rodolphe Sitter 
finance, foreign exchange, fx, option, pricing, american 
13 
0 

31 Mar 2009 

Volatility Surface Compute and Plot Volatility Surfaces from Market Prices
Author: Rodolphe Sitter 
volatility, surface, implied volatility, blackscholes, black, scholes 
63 
7 
5.0 
1 rating

Files Matching Rodolphe Sitter's Watch List 
View all

Updated 

File 
Tags 
Downloads (last 30 days) 
Comments 
Rating 
07 Dec 2010 

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 
2 ratings

07 Nov 2009 

Heston Option Pricer Compute European call option price using the Heston model and a conditional MonteCarlo method
Author: Rodolphe Sitter 
finance, stochastic, volatility, skew, smile, montecarlo 
25 
1 

04 Jun 2009 

LogUniform JumpDiffusion Model European call option price and implied volatility for a LogUniform JumpDiffusion model.
Author: Rodolphe Sitter 
finance, loguniform, jump, diffusion, poisson, process 
17 
3 
4.5 
2 ratings

17 Apr 2009 

Foreign Exchange Options Valuation of European and American options on foreign exchange using GarmanKohlhagen model
Author: Rodolphe Sitter 
finance, foreign exchange, fx, option, pricing, american 
13 
0 

31 Mar 2009 

Volatility Surface Compute and Plot Volatility Surfaces from Market Prices
Author: Rodolphe Sitter 
volatility, surface, implied volatility, blackscholes, black, scholes 
63 
7 
5.0 
1 rating


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