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updated almost 2 years ago

Optimization and Calibration by Kienitz Wetterau FinModelling

We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. (heston, optimizer, sqp)

BoundConstraints(xvec,lb,ub,varargin)

BoundConstraints(xvec,lb,ub,varargin)

CharacteristicFunctionLib(model,u,T,r,d,params)

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updated almost 2 years ago

Pricing and Calibration Framework (Object Oriented) by Kienitz Wetterau FinModelling

Object Oriented Framework for Pricing, Calibration and Hedging. (pricing, calibration, forward start options)

BoundConstraints(xvec,lb,ub,varargin)

GradientEval(fobj,xk,fval,varargin)

HessApprox(oldGradF,oldX,newGradF,newX,oldHessian)

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updated almost 2 years ago

COS Method (Multiple Strikes, Bermudan, Greeks) by Kienitz Wetterau FinModelling

Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once (cos, multiple strikes, bermudan)

CF(model,u,T,r,d,varargin)

FFTCOS_B(n, Nex, L, c, cp, type, S0, t, r, q, ...

FFTCOS_B_2(n, Nex, L, c, cp, type, S0, t, r, q, ...

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updated almost 2 years ago

Modern Pricing Method using Transforms by Kienitz Wetterau FinModelling

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options. (cos, conv, lewis)

CF(model,u,T,r,d,varargin)

CallPricingFFT(model,n,S,K,T,r,d,varargin)

CallPricingFFTi(model,n,S,K,T,r,d,imethod,varargin)

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updated 2 years ago

Monte Carlo Simulation and Derivatives Pricing by Kienitz Wetterau FinModelling

Monte Carlo Schemes for advanced models and pricing of derivatives (monte carlo, disretization, sample scheme)

ArithmeticAsian(S, K, C)

BestOfCall(S1,S2)

CallPut(S,K,C)

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updated 2 years ago

Heston and SABR Unbiased Schemes by Kienitz Wetterau FinModelling

Unbiased Schemes for Heston and SABR. (heston, sabr, exact sampling)

CallPricingFFT(model,n,S,K,T,r,d,varargin)

CallPut(S,K,C)

CharacteristicFunctionLib(model,u,lnS,T,r,d,varargin)

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updated 2 years ago

Risk Neutral Densities for Financial Models by Kienitz Wetterau FinModelling

Risk neutral densities for advanced financial models used for option pricing (risk neutral density, sabr, heston)

add2date(D,V)

cf_bates(u,V0,theta,kappa,omega,rho,a,b,lambda,t,r)

cf_black(u,sigma,t)

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updated 2 years ago

CMS Spread Caps Stochastic Local Volatility Libor Market Model by Kienitz Wetterau FinModelling

Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model. (libor market model, stochastic volatility, local volatility)

CMS_new( TimeGrid,K,fixingTime,endTime1,endTime2,...

DichteVar_new(v,T,kappa,xi,V )

GaussLegInput(lowerBound,upperBound,NumberPoints)

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updated 2 years ago

FinancialModelling_Ch2_ImpliedVolatility by Kienitz Wetterau FinModelling

Carr-Madan and Lewis pricing methods using FFT for many advanced financial models (finance, stochastic volatility, heston)

CallPricingFFT(model,S,K,T,r,d,varargin)

CallPricingFFT2(model,S,K,T,r,d,varargin)

CharacteristicFunctionLib(model,u,lnS,T,r,d,varargin)

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updated 2 years ago

Heston Simulation using Monte Carlo by Suhyun Kim

Heston Simulation using Monte Carlo (heston)

Heston_MCS(S,K,T,r,v,kappa,theta,lambda,sigma,rho,N,M)

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updated 4 years ago

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (finance, stochastic, volatility)

Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)

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