Mark Whirdy
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http://www.linkedin.com/pub/mark-whirdy/6/a51/159 Professional Interests: Credit & Equity Quantitative Finance
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Submitted
calcBSImpVol(cp,P,S,K,T,r,q)
Calculates Black-Scholes Implied Volatility for Full Surface at High Speed
bijna 7 jaar ago | 3 downloads |
Submitted
Merton Jump Diffusion Option Price (Matrixwise)
Calculates Merton's 1976 Jump Diffusion Model by Closed Form Matrixwise Calculation for Full Surface
meer dan 11 jaar ago | 3 downloads |
Submitted
Merton Structural Credit Model (Matrixwise Solver)
Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery
meer dan 11 jaar ago | 2 downloads |