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by Fone
August 27th, 2013, 8:51 am
Forum: The Quantitative Finance Code Library Project
Topic: MatLab: Pricing Bermudan Swaptions in the LMM using Steffen Hippler's Code Fragments
Replies: 2
Views: 9327

MatLab: Pricing Bermudan Swaptions in the LMM using Steffen Hippler's Code Fragments

The link doesn't seem to work. Sorry about that. You can find his thesis by simply google: "Pricing Bermudan Swaptions in the LIBOR Market Model Steffen Hippler"
by Fone
August 27th, 2013, 8:37 am
Forum: The Quantitative Finance Code Library Project
Topic: MatLab: Pricing Bermudan Swaptions in the LMM using Steffen Hippler's Code Fragments
Replies: 2
Views: 9327

MatLab: Pricing Bermudan Swaptions in the LMM using Steffen Hippler's Code Fragments

<t>Hi everyone,I am currently trying to run Steffen Hippler's Code (Steffen Hippler's Thesis). I have seen that already some else in this forum tried to do so. However, he does not answer at all, that's why I opened a new post.Has anyone else already tried to do so?The Calibration to CoTerminal Swap...
by Fone
August 7th, 2013, 6:57 am
Forum: Programming and Software Forum
Topic: MatLab code for the LIBOR Market Model needed
Replies: 10
Views: 10161

MatLab code for the LIBOR Market Model needed

<t>QuoteWhat is the explicit objective defined for the thesis? Implementation of the LIBOR Market Model in MatLab (from Calibration to Pricing).QuoteDid you choose this topic yourself?The topic was given by my Prof, but I had to accept it.QuoteDo you have the option of changing topics? Not possible....
by Fone
August 7th, 2013, 5:57 am
Forum: Programming and Software Forum
Topic: MatLab code for the LIBOR Market Model needed
Replies: 10
Views: 10161

MatLab code for the LIBOR Market Model needed

<t>Thank you for all the comments. Obviously, I am well awared of plagiarism and would not copy/past. It was thought to get a first idea.Since my major is Econ (undergrad) and I only had stochastic calculus in one course, I realized that this topic is quite demanding for me.Do you have any suggestio...
by Fone
August 1st, 2013, 3:21 pm
Forum: Programming and Software Forum
Topic: MatLab code for the LIBOR Market Model needed
Replies: 10
Views: 10161

MatLab code for the LIBOR Market Model needed

<t>Hi all,is someone willing to share his/her implementation of the LIBOR Market model in MatLab?I am particularly interested in a complete implementation from the calibration to the valuation of either CMS, Ratchet Caps or Bermudan Swaptions.It's for academic purpose (Bachelor Thesis).Thank you ver...
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