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updated 2 years ago

Optimization and Calibration by Kienitz Wetterau FinModelling

We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. (heston, optimizer, sqp)

BoundConstraints(xvec,lb,ub,varargin)

BoundConstraints(xvec,lb,ub,varargin)

CharacteristicFunctionLib(model,u,T,r,d,params)

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Hedge Analysis by Kienitz Wetterau FinModelling

Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance (hedging, dax, deltagamma)

BlackScholesPaths(S, mu, T, nPaths, nSims, sigma)

BlackScholesPrice(S,K,r,T,sigma)

CarrMadanCallPricingFFT(N,eta,model,S,K,T,r,d)

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Student VaR / CVaR by Kienitz Wetterau FinModelling

Student VaR and CVaR against Gaussian risk figures (var, cvar, student)

FMinusOne( x,n )

InverseCDF4(x)

NCVaR(x)

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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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Pricing and Calibration Framework (Object Oriented) by Kienitz Wetterau FinModelling

Object Oriented Framework for Pricing, Calibration and Hedging. (pricing, calibration, forward start options)

BoundConstraints(xvec,lb,ub,varargin)

GradientEval(fobj,xk,fval,varargin)

HessApprox(oldGradF,oldX,newGradF,newX,oldHessian)

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Libor Market Model Adjoint Greeks (LMM) by Kienitz Wetterau FinModelling

Adjoint Method for Libor Market Models (Delta, Gamma, Vega) (libor market model, bermudan swaption, trigger swap)

BSwap

LMMDer

TrigSwap

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Matlab Basics by Kienitz Wetterau FinModelling

Illustration of the stuff of Chapter 11 of the book (matlab)

constCVaR(Sample,mu,Rstar)

evalFhandle(fhandle,varargin)

objfCVaR(beta, q, N)

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COS Method (Multiple Strikes, Bermudan, Greeks) by Kienitz Wetterau FinModelling

Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once (cos, multiple strikes, bermudan)

CF(model,u,T,r,d,varargin)

FFTCOS_B(n, Nex, L, c, cp, type, S0, t, r, q, ...

FFTCOS_B_2(n, Nex, L, c, cp, type, S0, t, r, q, ...

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Modern Pricing Method using Transforms by Kienitz Wetterau FinModelling

COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options. (cos, conv, lewis)

CF(model,u,T,r,d,varargin)

CallPricingFFT(model,n,S,K,T,r,d,varargin)

CallPricingFFTi(model,n,S,K,T,r,d,imethod,varargin)

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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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American Monte Carlo by Kienitz Wetterau FinModelling

Algorithms for pricing American Style derivatives with Monte Carlo Simulation (american monte carlo, longstaffscwartz, policy iteration)

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BinTree_A(S0, K, r, T, sigma, n, type)

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Fixed Grid and Stochastic Grid Monte Carlo Sampling by Kienitz Wetterau FinModelling

We cover two methods for sampling from Jump Diffusion Models (merton model, fgs, sgs)

MC_merton_fgs(S,r,sigma,T, ...

MC_merton_sgs(S,r,sigma,T, a,b,lambda,NSim)

MertonPrice(Spot,Strike,sigma,r,T,a,b,lambda,n_max)

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Bridge Sampling by Kienitz Wetterau FinModelling

Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge) (bridge sampling, brownian bridge, gamma bridge)

CreateGaussian(NSim, Nf, nummethod, method)

buildpathbb(n)

buildpathbbG(t,nu)

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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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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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