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Vitis Quantitative Finance Library
2021.1
Library Overview
Requirements
License
Trademark Notice
Release Note
User Guide
Pricing Models and Numerical Methods
Models
Black-Scholes Model
Heston Model
Hull-White Model
Black-Karasinski Model
Cox-Ingersoll-Ross Model
Extended Cox-Ingersoll-Ross Model
Vasicek Model
G2 Model
Numerical Methods
Monte Carlo Simulation
Finite Difference Methods
Binomial Tree, Cox-Ross-Rubinstein, Method
Internal Design of Tree Lattice
Closed-Form Solution Methods
Heston Model Closed-Form Solution
Merton 76 Closed-Form Solution
Garman-Kohlhagen Closed-Form Solution
Quanto Closed-Form Solution
Hull White Analytic Closed-Form Solution
Risk
Portfolio Optimisation
Credit Default Swap
L1 Module User Guide
L2 Kernel User Guide
L3 Overlay User Guide
Benchmark
Benchmark
Vitis Quantitative Finance Library
»
Pricing Models and Numerical Methods
Pricing Models and Numerical Methods
¶
Models
¶
Black-Scholes Model
Heston Model
Hull-White Model
Black-Karasinski Model
Cox-Ingersoll-Ross Model
Extended Cox-Ingersoll-Ross Model
Vasicek Model
G2 Model
Numerical Methods
¶
Monte Carlo Simulation
Finite Difference Methods
Binomial Tree, Cox-Ross-Rubinstein, Method
Internal Design of Tree Lattice
Closed-Form Solution Methods
¶
Heston Model Closed-Form Solution
Merton 76 Closed-Form Solution
Garman-Kohlhagen Closed-Form Solution
Quanto Closed-Form Solution
Hull White Analytic Closed-Form Solution
Risk
¶
Portfolio Optimisation
Credit Default Swap