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updated almost 2 years ago

The SABR Model - Densities and MC by Kienitz Wetterau FinModelling

Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method (sabr, kienitz, doust)

BinarySABR(f, k, t, sigma, disc)

BinarySABR_1_2(f, k, t, sigma)

BinarySABR_2(f, k, t, sigma)

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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

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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