Rank: 600 based on 116 downloads (last 30 days) and 9 files submitted

Rodolphe Sitter

E-mail: rodolphesitter@gmail.com
Company/University: University of Chicago
Lat/Long: 40.75903701782227, -73.98124694824219

Personal Profile:
Professional Interests:: Modeling

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Files Posted by Rodolphe					View all 1 - 5 of 9
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	bond, yield to maturity, discount curve, bonds, discount, yield	20	1	5.0 5.0 \| 1 rating
07 Nov 2009		Heston Option Pricer Compute European call option price using the Heston model and a conditional Monte-Carlo method Author: Rodolphe Sitter	heston, random, volatility, skew, smile, montecarlo	15	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	diffusion, european call, jump, finance, poisson, process	18	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	5	0
31 Mar 2009		Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter	implied volatility, black, surface, volatility, scholes, blackscholes	33	7	5.0 5.0 \| 1 rating

Comments and Ratings by Rodolphe		View all 1 - 5 of 6
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 1 - 5 of 17
Updated	File	Comment by	Comments	Rating
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]
08 May 2010	Heston Option Pricer Compute European call option price using the Heston model and a conditional Monte-Carlo method Author: Rodolphe Sitter	Daniel	Hi Rodolph, Quick question, where does rho fit in, in all of this?
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.

Top Tags Applied by Rodolphe	1 - 5 of 84
finance, blackscholes, option, pricing, random

Files Tagged by Rodolphe					View all 1 - 5 of 10
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
17 Aug 2011		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, analysis, optimization, statistics, finance	270	92	4.5 4.5 \| 32 ratings
07 Dec 2010		Bootstrapping Yield Curve Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results. Author: Rodolphe Sitter	bond, yield to maturity, discount curve, bonds, discount, yield	20	1	5.0 5.0 \| 1 rating
07 Nov 2009		Heston Option Pricer Compute European call option price using the Heston model and a conditional Monte-Carlo method Author: Rodolphe Sitter	heston, random, volatility, skew, smile, montecarlo	15	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	diffusion, european call, jump, finance, poisson, process	18	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	5	0

Currently Watching
Type	Description
File	Plot Some Paths
File	3D Plot for Greeks
File	Log-Uniform Jump-Diffusion Model
File	Volatility Surface
File	Coin And Dice
File	Brain Teaser Solver
File	Foreign Exchange Options
File	Heston Option Pricer
File	Bootstrapping Yield Curve

Files Matching Rodolphe's Watch List					View all 1 - 5 of 9
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	bond, yield to maturity, discount curve, bonds, discount, yield	20	1	5.0 5.0 \| 1 rating
07 Nov 2009		Heston Option Pricer Compute European call option price using the Heston model and a conditional Monte-Carlo method Author: Rodolphe Sitter	heston, random, volatility, skew, smile, montecarlo	15	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	diffusion, european call, jump, finance, poisson, process	18	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	5	0
31 Mar 2009		Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter	implied volatility, black, surface, volatility, scholes, blackscholes	33	7	5.0 5.0 \| 1 rating

Comments and Ratings Matching Rodolphe's Watch List			1-5 of 17
Date	File	Comment by	Comments	Rating
29 Jan 2011	Volatility Surface Compute and Plot Volatility Surfaces from Market Prices	Marc	I like the kernel smoothing part ! thks for sharing	5
29 Jan 2011	Bootstrapping Yield Curve Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results.	Marc	nice work	5
23 Jun 2010	Volatility Surface Compute and Plot Volatility Surfaces from Market Prices	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]	Comment only
08 May 2010	Heston Option Pricer Compute European call option price using the Heston model and a conditional Monte-Carlo method	Daniel	Hi Rodolph, Quick question, where does rho fit in, in all of this?	Comment only
22 Jun 2009	Volatility Surface Compute and Plot Volatility Surfaces from Market Prices	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.	Comment only

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