Value at Risk
Financial Modules
Projects
- Time dependent heston model
- Modeling and Pricing of Variance Swaps for Local Stochastic Volatilities with Delay and Jumps
- LIBOR Market Model with Stochastic Basis
- Series Expansion of SABR Joint Density
- Optimal Hedging of Variance Derivatives
Pricing and Valuation
Simulation
- NIG Process Simulation
- Variance Gamma Process Simulation
- Compound Poisson Process Simulation
- Multivariate Brownian Motion Generation
- Heavytailed Process Simulation using (Mixed Normal)