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Vitis Quantitative Finance Library
2021.2

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
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