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updated 1 year ago

Fast Matrixwise Black-Scholes Implied Volatility by Mark Whirdy

Mark Whirdy

Calculates Black-Scholes Implied Volatility for Full Surface at High Speed (blackscholes, impliedvolatility, impvol)

calcBSImpVol(cp,P,S,K,T,r,q)

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updated 1 year ago

Merton Jump Diffusion Option Price (Matrixwise) by Mark Whirdy

Mark Whirdy

Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface (merton, options, finance)

calcMJDOptionPrice(cp,S,K,T,sigma,r,q,lambda,a,b,n)

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updated 1 year ago

Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

Mark Whirdy

Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery (credit, merton, structural credit mod...)

calcMertonModel(E_t,sig_E,K,t,T,r)

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updated 3 years ago

Heston Model Calibration and Simulation by Moeti Ncube

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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updated 3 years ago

Fully Flexible Views and Stress-testing by Attilio Meucci

Attilio Meucci

Full generalization of Black-Litterman and related techniques via entropy pooling (finance, modeling, analysis)

CVaR=ComputeCVaR(Units,Scenarios,Conf)

Constr=SetUpConstraints(Securities);

EfficientFrontier(X,p, Options);

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updated almost 6 years ago

CDS pricer by Rogier Swierstra

Rogier Swierstra

This short routine calculates the mark-to-market price of a credit default swap. (finance, analysis, bloomberg)

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updated 8 years ago

Picking elements from a set by Stefan Stoll

Stefan Stoll

Gives all possibilities of picking k elements from a set of N with/without order/repetition. (matrices, permutation, combination)

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