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Rodolphe Sitter
University of Chicago
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Professional Interests: Modeling
Statistics
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Feeds
Submitted
Bootstrapping Yield Curve
Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results.
13 years ago | 1 download |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/29630/versions/2/screenshot.png)
Submitted
Heston Option Pricer
Compute European call option price using the Heston model and a conditional Monte-Carlo method
14 years ago | 3 downloads |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/25771/versions/1/screenshot.jpg)
Submitted
Log-Uniform Jump-Diffusion Model
European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.
15 years ago | 2 downloads |
Submitted
Foreign Exchange Options
Valuation of European and American options on foreign exchange using Garman-Kohlhagen model
15 years ago | 1 download |
Submitted
Volatility Surface
Compute and Plot Volatility Surfaces from Market Prices
15 years ago | 4 downloads |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/23316/versions/2/screenshot.jpg)
Submitted
Brain Teaser Solver
Brain Teaser Solver: Compute the expected time to get a given sequence of independent outcomes.
15 years ago | 1 download |
Submitted
Coin And Dice
Simulate the average number of tosses of coin/throws of dice to get a given sequence.
15 years ago | 1 download |
Submitted
Plot Some Paths
This application allows you to generate and visualize some random paths
15 years ago | 2 downloads |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/22312/versions/9/screenshot.jpg)
Submitted
3D Plot for Greeks
Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call
15 years ago | 1 download |
![Thumbnail](/matlabcentral/mlc-downloads/downloads/submissions/22336/versions/3/screenshot.jpg)