Models
Coverage
- General Models
- Black Scholes
- Cox Rubenstein
- local volatility
- CEV (constant elasticity of variance)
- shifted log-normal (displaced diffuser)
- smile-implied process
- user-defined process
- Stochastic Volatility
- Heston Model
- Interest Rate Models
- Black
- Black-Karansinksi short rate (1-factor)
- Hull-White short rate (1- and 2-factor)
- LIBOR Market Model (BGM/J)
- CEV (constant elaticity of variance)
- shifted log-normal (displaced diffuser)
- standard log-normal - two-additive-factor Gaussian short-rate
- FX Models
- cross currency multi-factor hybrid IR/FX
- Garman Kohlhagen
- local volatility
- Credit Derivative Models
- Displaced Diffusion Model for CDS index options (Liu and Jackel)
- Gaussian Copula function model (Li)
- multi-period credit index model (Hull-White)
- General Calculation Models
- binomial & trinomial trees
- closed-form analytical solutions
- fast Fourier transform methods
- matrix methods (eigenvalues, Cholesky decomposition, inversion, etc.)
- minimization algorithms (Levenberg-Marquardt, Downhill Simplex)
- Monte Carlo simulation (including Longstaff-Schwartz for early exercise)
- numerical integration (Gaussian quadrature, Simpson’s method, etc.)
- partial differential equations (PDEs) by finite difference methods
- regression (linear, polynomial)
- recursion methods (for synthetic CDOs)
- root-finding algorithms (Bisection, Newton-Raphson, Brent)
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Screenshot example of the Function Finder (Heston Model)
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Screenshot example of the Function Finder
