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)

Inverse Laplace transform by Gaver-Stehfest algorithm by Colin Brosseau

Inverse Laplace transform by Gaver-Stehfest algorithm for an arbitrary function. (laplace transform, gaverstehfest)

gavsteh_param(L,funname,varargin)

Weeks' Method for Numerical Laplace transform inversion with GPU acceleration by Patrick Kano

Implementation of the Weeks method for numerical Laplace transform inversion with GPU acceleration. (mathematics, laplace transform, jacket)

[Invertf,sigmaP,bP,RelTotalError,AbsTotalError,AbsTruncateE...

[Invertf,sigmaP,bP,RelTotalError,AbsTotalError,AbsTruncateE...

acunumweeks(varargin)

Constitutive Models of Linear Viscoelasticity with Laplace Transform by Jaroslav Vondrejc

The program computes compliance and relaxation function. (laplace transform, constitutive models, viscoelasticity)

[G]=gauss(A)

kronecker(A,B)

viscoelasticity(B)

Evaluation of the Laplace transform of the Pareto distribution by Andrei Bejan

This function evaluates the Laplace-Stieltjes transform of the Pareto distribution (mathematics, integral transforms, laplace transform)

LaplaceOfPareto(s,a,b)