Rank: 248 based on 334 downloads (last 30 days) and 8 files submitted
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Rodolphe Sitter

E-mail
Company/University
The University of Chicago / SGCIB, NY
Lat/Long
40.75903701782227, -73.98124694824219

Personal Profile:

- The University of Chicago. MSc Financial Mathematics 09 - SGCIB, Exotics Structurer

Professional Interests:
Quantitative finance, Poker (no limit Texas hold'em), traveling

 

Watch this Author's files

 

Files Posted by Rodolphe View all
  • 1 - 5 of
  • 8
Updated   File Tags Downloads
(last 30 days) 		Comments Rating
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 heston, moneyness, blackscholes, simulation, smile, volatility 68 0
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 diffusion, loguniform, jump, european call, implied, price 62 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 fx, foreign exchange, american, binomial tree, option, trinomial tree 28 0
31 Mar 2009 Screenshot Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter implied volatility, black, surface, volatility, moneyness, market 77 5
30 Mar 2009 Brain Teaser Solver Brain Teaser Solver: Compute the expected time to get a given sequence of independent outcomes. Author: Rodolphe Sitter outcome, dice, random time, sequence, iid, brain teaser 13 0
Comments and Ratings by Rodolphe View all
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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's Files View all
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Updated File Comment by Comments Rating
22 Jun 2009 Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter Sitter, Rodolphe

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.

20 Jun 2009 Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter Tzallas, George

Dear Rodolphe,

I can't understand the method you are using in order to calculate the implied volatility, ImpliedVol(i). Why you don't use newton raphson method or bisection method, in order to match the volatility with the option market price coming from the BS formula?
13 Jun 2009 Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter Kalwani, Pankaj

I get the error message:

??? Error: File: C:\MATLAB6p5\work\VolSurface.m Line: 87 Column: 12
Missing operator, comma, or semicolon.
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 Sitter, Rodolphe

Thanks Kim, I fixed the bug, it is now stable for a large number of Monte-Carlo simulations
02 Jun 2009 Log-Uniform Jump-Diffusion Model European call option price and implied volatility for a Log-Uniform Jump-Diffusion model. Author: Rodolphe Sitter Chiang, Kim

Good, except for some small bug in the code. the miss use of function "sum" makes the program not stable. You mentioned it is not stable for large number. It is caused by this.
Top Tags Applied by Rodolphe
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finance, blackscholes, option, pricing, random
Files Tagged by Rodolphe View all
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Updated   File Tags Downloads
(last 30 days) 		Comments Rating
31 Jan 2010 Screenshot MS_Regress - A Package for Markov Regime Switching Models in Matlab Functions to Estimate, Simulate and Forecast Markov Regime Switching Models in Matlab Author: Marcelo Perlin markov switching, econometrics, statistics, regression, modeling, optimization 325 35
  • 4.2
4.2 | 16 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 heston, moneyness, blackscholes, simulation, smile, volatility 68 0
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 diffusion, loguniform, jump, european call, implied, price 62 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 fx, foreign exchange, american, binomial tree, option, trinomial tree 28 0
07 Apr 2009 Screenshot Using java swing components in MATLAB A custom class that eases the use of java.awt and javax.swing components in MATLAB Author: Malcolm Lidierth graphics, gui, undocumented, awt, data exploration, uicontrol 79 12
  • 4.5
4.5 | 6 ratings
 

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