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Rodolphe Sitter


University of Chicago

9 total contributions since 2008

Professional Interests: Modeling

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Contributions in
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Submitted


Bootstrapping Yield Curve
Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results.

6 years ago | 2 downloads |

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Heston Option Pricer
Compute European call option price using the Heston model and a conditional Monte-Carlo method

7 years ago | 20 downloads |

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Log-Uniform Jump-Diffusion Model
European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.

7 years ago | 3 downloads |

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Foreign Exchange Options
Valuation of European and American options on foreign exchange using Garman-Kohlhagen model

7 years ago | 3 downloads |

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Volatility Surface
Compute and Plot Volatility Surfaces from Market Prices

7 years ago | 26 downloads |

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Brain Teaser Solver
Brain Teaser Solver: Compute the expected time to get a given sequence of independent outcomes.

7 years ago | 1 downloads |

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Coin And Dice
Simulate the average number of tosses of coin/throws of dice to get a given sequence.

7 years ago | 1 downloads |

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Plot Some Paths
This application allows you to generate and visualize some random paths

8 years ago | 11 downloads |

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3D Plot for Greeks
Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call

8 years ago | 3 downloads |

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