Rodolphe Sitter

Active since 2008

Professional Interests: Modeling

Submitted

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

mehr als 11 Jahre ago | 2 downloads |

Submitted

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

mehr als 12 Jahre ago | 3 downloads |

Submitted

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

etwa 13 Jahre ago | 3 downloads |

Submitted

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

etwa 13 Jahre ago | 3 downloads |

Submitted

Volatility Surface
Compute and Plot Volatility Surfaces from Market Prices

etwa 13 Jahre ago | 7 downloads |

Submitted

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

etwa 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.

mehr als 13 Jahre ago | 2 downloads |

Submitted

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

mehr als 13 Jahre ago | 2 downloads |

Submitted

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

mehr als 13 Jahre ago | 2 downloads |

Personal Best Downloads Level 2