welcome to my articles !

Option Pricing Formulae using Fourier Transform

Fourier inversion methods are an important addition to the tool set for derivatives pricing applications. This paper gives an overview over the prevailing concepts for plain vanilla products and offers a quantitative and numerical analysis with respect to stability issues and computational efficiency.

Calibration of the Schöbel and Zhu (1999) Option Pricing Model

The option pricing model proposed by Schöbel and Zhu (1999) is becoming an increasingly popular stochastic volatility model. This article illustrates a calibration procedure of this model to a set of observed market implied volatilities for DAX index options.

COS Fourier-Cosine Series Expansions and Option Pricing

This article illustrates the Fourier-Cosine Series Expansions based pricing of European Options recently proposed by Fang and Oosterlee [2008].

Thesis

Here on this web page you can find my thesis with the title “Optionspreisbewertung mit stochastischer Volatilität und Sprungprozessen – Eine Untersuchung am Deutschen Aktienindex” supervised by Prof. Dr. Daniel Rösch.

Option Pricing with Tempered Stable Distributions

For a lot of financial assets, the returns exhibit non-normal behavior with fat tails, excess kurtosis and non-zero skewness. One promising family of distributions capable of addressing these stylized facts is the class of “Tempered Stable Distributions”. This article offers an implementation in Excel – VBA.

Adaptive Quadrature in VBA

Implementation of the two adaptive integration routines adaptsim() and adaptlob() from Gander and Gautschi [2000] in Excel – VBA.

linspace() and logspace() functions in VBA

Two simple and useful, in the world of MatLab or Python very well known methods linspace() and logspace() are made available to Excel – VBA.

Complex Numbers in VBA

The ‘string’ based handling of complex numbers in Excel – VBA is not that optimal for involved calculations. A representation of complex numbers by numerical values boosts computational efficiency by order of magnitudes. In addition, the set of available functions is extended significantly.