See my homepage for some info about me.
Some of my projects:
- finmath.net A Java library and spreadsheets with algorithms related to Mathematical Finance (e.g., curve calibration, Monte-Carlo simulation, Bermudan option pricing, American Monte-Carlo).
- Obba A middleware to seamlessly use Java/Scala libraries from spreadsheets. Allows to use any Java library as a spreadsheet add-in.
- Mathematical Finance (a book on some topics in m.f.)
14 What are the advantages/disadvantages of these approaches to deal with volatility surface? Jan 19 '13
7 how to derive yield curve from interest rate swap? May 11 '13
7 How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation) Feb 1 '13
4 Simulation of GBM Jan 28 '13