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.)
9 What are the advantages/disadvantages of these approaches to deal with volatility surface? jan 19 '13
5 how to derive yield curve from interest rate swap? may 11 '13
5 How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation) feb 1 '13
3 Upper bound concerning Snell envelope feb 19 '13
3 Simulation of GBM jan 28 '13