Rodolphe Sitter
University of Chicago
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Professional Interests: Modeling
Statistics
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Your submissions were downloaded 100 or more times in a month
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Awarded to Rodolphe Sitter on 09 Oct 2019
Your submissions received 10 five star ratings
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Awarded to Rodolphe Sitter on 09 Oct 2019
Feeds
Submitted
Bootstrapping Yield Curve
Bootstrap the yield curve, discount curve and forward curve from bond market prices. Plot results.
14 years ago | 2 downloads |
Submitted
Heston Option Pricer
Compute European call option price using the Heston model and a conditional Monte-Carlo method
15 years ago | 1 download |
Submitted
Log-Uniform Jump-Diffusion Model
European call option price and implied volatility for a Log-Uniform Jump-Diffusion model.
15 years ago | 1 download |
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 | 11 downloads |
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
16 years ago | 1 download |
Submitted
3D Plot for Greeks
Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call
16 years ago | 4 downloads |
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