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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 almost 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

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 3 years ago

Heston Model Calibration and Simulation by Moeti Ncube

Calibrated the Heston Model to market Option prices (heston model, option pricing, calibration)

C=HestonCall(St,K,r,T,vt,kap,th,sig,rho,lda)

[cost]=costf2(x)

fj=CF_SVj(xt,vt,tau,mu,a,uj,bj,rho,sig,phi)

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