
Kienitz Wetterau FinModelling
Financial Modelling
Professional Interests: Option Pricing, Risk Management, Mathematical Finance
Statistics
18 Files
RANK
N/A
of 262.597
REPUTATION
N/A
CONTRIBUTIONS
0 Questions
0 Answers
ANSWER ACCEPTANCE
0.00%
VOTES RECEIVED
0
RANK
410 of 17.976
REPUTATION
3.706
AVERAGE RATING
5.00
CONTRIBUTIONS
18 Files
DOWNLOADS
72
ALL TIME DOWNLOADS
35924
RANK
of 113.607
CONTRIBUTIONS
0 Problems
0 Solutions
SCORE
0
NUMBER OF BADGES
0
CONTRIBUTIONS
0 Posts
CONTRIBUTIONS
0 Public Channels
AVERAGE RATING
CONTRIBUTIONS
0 Highlights
AVERAGE NO. OF LIKES
Content Feed
Submitted
ZABR Stochastic Volatility Smile Modelling
This is a toy implementation of the ZABR Model from Andreasen and Huge
mehr als 7 Jahre ago | 2 downloads |
Submitted
Hedge Analysis
Illustration of chapter 10 of the book. This covers hedge strategies as Delta-Gamma or Mean Variance
fast 10 Jahre ago | 2 downloads |

Submitted
Student VaR / CVaR
Student VaR and CVaR against Gaussian risk figures
fast 10 Jahre ago | 2 downloads |

Submitted
Optimization and Calibration
We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP.
fast 10 Jahre ago | 7 downloads |

Submitted
The SABR Model - Densities and MC
Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method
fast 10 Jahre ago | 2 downloads |

Submitted
Libor Market Model Adjoint Greeks (LMM)
Adjoint Method for Libor Market Models (Delta, Gamma, Vega)
fast 10 Jahre ago | 2 downloads |

Submitted
COS Method (Multiple Strikes, Bermudan, Greeks)
Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once
fast 10 Jahre ago | 4 downloads |

Submitted
Modern Pricing Method using Transforms
COS, CONV, Lewis Option Pricing Methods including Bermudan and American Options.
fast 10 Jahre ago | 6 downloads |

Submitted
Matlab Basics
Illustration of the stuff of Chapter 11 of the book
fast 10 Jahre ago | 1 download |

Submitted
Pricing and Calibration Framework (Object Oriented)
Object Oriented Framework for Pricing, Calibration and Hedging.
fast 10 Jahre ago | 2 downloads |

Submitted
Monte Carlo Simulation and Derivatives Pricing
Monte Carlo Schemes for advanced models and pricing of derivatives
etwa 10 Jahre ago | 4 downloads |

Submitted
Heston and SABR Unbiased Schemes
Unbiased Schemes for Heston and SABR.
etwa 10 Jahre ago | 5 downloads |

Submitted
American Monte Carlo
Algorithms for pricing American Style derivatives with Monte Carlo Simulation
etwa 10 Jahre ago | 6 downloads |

Submitted
Fixed Grid and Stochastic Grid Monte Carlo Sampling
We cover two methods for sampling from Jump Diffusion Models
etwa 10 Jahre ago | 4 downloads |

Submitted
Bridge Sampling
Sampling using Bridges and Quasi Monte Carlo methods (Brownian Bridge and Gamma Bridge)
etwa 10 Jahre ago | 4 downloads |

Submitted
Risk Neutral Densities for Financial Models
Risk neutral densities for advanced financial models used for option pricing
etwa 10 Jahre ago | 8 downloads |

Submitted
CMS Spread Caps Stochastic Local Volatility Libor Market Model
Functions to analytically price CMS Spread Caps in a Local-Stochastic Vol Libor Market Model.
etwa 10 Jahre ago | 4 downloads |

Submitted
FinancialModelling_Ch2_ImpliedVolatility
Carr-Madan and Lewis pricing methods using FFT for many advanced financial models
mehr als 10 Jahre ago | 7 downloads |
