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)

Screenshot example of the Function Finder (Heston Model)

Screenshot example of the Function Finder