I am Christophe Rougeaux and I am working as a junior quantitative analyst (model validation).
Passionate by option pricing methodologies and risk management, I thought I would share of my research.
The content of this website is divided into 7 parts:
- Classical option pricing models: Binomial models, Black & Scholes, shifted lognormal model, G2++ (bond options).
- Monte-Carlo methods: Option pricing and greeks estimation.
- Partial Differential Equation (PDE) approach: Finite Difference (FD) and Radial Basis Function (RBF).
- Volatility models: SABR with calibration, Lognormal model, etc.
- Videos: Using C# in Excel with debug, option pricing methods explanations, etc.
- Publications: working papers, blogs, etc.
- About/Contact me: Information about Christophe, testimonials, etc.
You can visit the various navigation tabs to explore these methods in more details.
NEW: G2++ model online!
White Paper about Counterparty Credit Risk.