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George Tzallas

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financial derivatives, computational neuroscience, control systems

 

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

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?
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algorithmic trading, analysis
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17 Dec 2010 Screenshot Backtesting Code for Algorithmic Trading Strategy Code to Backtest trading strategy Author: Moeti Ncube algorithmic trading, backtesting 45 0
10 Apr 2009 Screenshot Risk and Asset Allocation Software for quantitative portfolio and risk management Author: Attilio Meucci value at risk, modeling, analysis, shrinkage, maximum likelihood, multivariate distribu... 102 13
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