Recent content by Yves

Valuing Put Option with LSM Dear Jim, Here you find a paper containing a Python script (similar to Matlab) implementing the LSM algorithm for an American Put option with stochastic volatility and stochastic short rates: American Put option with LS Monte Carlo The exact problem you are...

Exotic Options with Heston Model Lun, I wrote a paper which contains an application of the Heston model to American option pricing with Monte Carlo simulation (and also stochastic interest rates). You find it on the Web site American Options with Heston Model ("Stochastic Volatility and...

Andy, seems to be the right route to take. The scripts from my lectures have been for illustrating finance with Python - not to teach Python in the first place. So some introductory scripting exercises are probably in order. Of course, one should have the finance setting in mind and include...

Andy, sounds like a great idea. Would like to contribute. I recently held four lectures at the Saarland University, Germany, about numerical methods in mathematical finance (see NumFinWS0910 - DEXISION Wiki). The lecture notes are in German but the scripts (for European options, American...

We only use PHP for our general/ content-oriented Web pages. For the valuation suite (for which there are free trials under DEXISION - Real-Time Financial Engineering.) we use things like modPython, JavaScript, SVG. Nevertheless, I'll have another look at Django - so thanks for the suggestion.

On Demand Valuation Suite in Python Hi there, I am new to Quantnet and just became aware of it due to this interesting thread about Python. We ourselves use Python as our base technology. We have implemented a complete Web based valuation suite in Python (DEXISION - Real-Time Financial...