Rodolphe Sitter
University of Chicago
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Professional Interests: Modeling
Statistics
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Awarded to Rodolphe Sitter on 09 Oct 2019
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Feeds
Submitted
Bootstrapping Yield Curve
Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results.
meer dan 13 jaar ago | 1 download |
Submitted
Heston Option Pricer
Compute European call option price using the Heston model and a conditional Monte-Carlo method
meer dan 14 jaar ago | 3 downloads |
Submitted
Log-Uniform Jump-Diffusion Model
European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.
ongeveer 15 jaar ago | 2 downloads |
Submitted
Foreign Exchange Options
Valuation of European and American options on foreign exchange using Garman-Kohlhagen model
meer dan 15 jaar ago | 1 download |
Submitted
Volatility Surface
Compute and Plot Volatility Surfaces from Market Prices
meer dan 15 jaar ago | 4 downloads |
Submitted
Brain Teaser Solver
Brain Teaser Solver: Compute the expected time to get a given sequence of independent outcomes.
meer dan 15 jaar ago | 1 download |
Submitted
Coin And Dice
Simulate the average number of tosses of coin/throws of dice to get a given sequence.
meer dan 15 jaar ago | 1 download |
Submitted
Plot Some Paths
This application allows you to generate and visualize some random paths
meer dan 15 jaar ago | 2 downloads |
Submitted
3D Plot for Greeks
Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call
meer dan 15 jaar ago | 1 download |
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