Community Profile

photo

Rodolphe Sitter


University of Chicago

Active since 2008

Professional Interests: Modeling

Statistics

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

View badges

Content Feed

View by

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 |

Thumbnail

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 |

Thumbnail

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 |

Thumbnail

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 |

Thumbnail

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 |

Thumbnail