Lecture notes on Risk Management / Basel II

Jan 11
2010
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http://www.youtube.com/user/bionicturtledotcom

Written by admin in: english, quant. finance |

more quant resources

Nov 27
2009
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Free C/C++ Matlab Code for Derivative Pricing

Differential Evolution

On-Line Calculator for the Heston Model


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Heston and SABR Models – Average options on commodities

Nov 16
2009
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Kenichiro Shiraya, Akihiko Takahashi - Pricing Average Options on Commodities

Written by admin in: SABR, english, heston model, quant. finance |

Bates Model – Finite Element Framework

Oct 30
2009
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Edie Miglio, Carlo Sgarra – A Finite Element Framework for Option Pricing with the Bates Model

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Heston Model – Calibration

Oct 27
2009
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Important article

Fiodar Kilin – Accelerating the Calibration of Stochastic Volatility Models

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Quant Press

Sep 23
2009
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A nice collection of quant. finance articles

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Actual CV

Sep 15
2009
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My actual CV is available for download (if somebody interested) in english or german.

Written by admin in: dev, private, quant. finance, uncategorized |

Penalty Methods for American Options

Sep 11
2009
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Y. d’Halluin, P.A. Forsyth, and G. Labahn – A Penalty Method for American Options with Jump Diffusion Processes

B.F Nielsen, O. Skavhaug, A. Tveito – Penalty methods for the numerical solution of American multi-asset option problems

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Longstaff Schwartz – Least Squares article

Sep 11
2009
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F.A. Longstaff, E.S. Schwartz – Valuing American Options by Simulation: A Simple Least-Squares Approach

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Heston Model – Important articles

Sep 11
2009
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M.H. Vellekoop, J.W. Nieuwenhuis – A Tree-based Method to price American Options in the Heston Model

Leif B.G. Andersen - Efficient Simulation of the Heston Stochastic Volatility Model

Dietmar P.J. Leisen – Stock Evolution under Stochastic Volatility: A Discrete Approach (Yet another tree approach)

Tino Kluge – Pricing derivatives in stochastic volatility models using the finite difference method

Roelof Sheppard - Pricing Equity Derivatives under Stochastic Volatility : A Partial Differential Equation Approach

Discrete Approach
Written by admin in: english, heston model, math. links, quant. finance |

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