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updated almost 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 almost 2 years ago

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)

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updated 2 years ago

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,AbsTruncat...

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

acunumweeks(varargin)

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updated 2 years ago

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)

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updated 3 years ago

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)

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