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Rodolphe Sitter


University of Chicago

Active since 2008

Professional Interests: Modeling

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  • Personal Best Downloads Level 2
  • First Review
  • 5-Star Galaxy Level 4
  • First Submission

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Submitted


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

etwa 11 Jahre ago | 2 downloads |

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Submitted


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

etwa 12 Jahre ago | 4 downloads |

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Submitted


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

mehr als 12 Jahre ago | 1 download |

Submitted


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

fast 13 Jahre ago | 1 download |

Submitted


Volatility Surface
Compute and Plot Volatility Surfaces from Market Prices

fast 13 Jahre ago | 10 downloads |

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

fast 13 Jahre ago | 1 download |

Submitted


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

fast 13 Jahre ago | 2 downloads |

Submitted


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

etwa 13 Jahre ago | 1 download |

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

etwa 13 Jahre ago | 1 download |

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