├── .gitignore ├── Analytical └── BlackScholes │ ├── BSM_Greeks.m │ ├── Price_Exchange_Option_Margrabe_2D.m │ ├── Price_Spread_Option_BjerksundStensland_2D.m │ ├── Price_Spread_Option_Kirk_2D.m │ ├── Script_BlackScholes_Plot_Greeks_For_Strike.m │ └── Script_BlackScholes_Prices_Greeks.m ├── Approx ├── BlackScholes │ └── Asian │ │ └── Price_Asian_VorstApprox_BlackScholes.m └── SABR │ ├── SABR_European_AntonovApprox.m │ ├── SABR_Hagan_Obloj_ImpliedVol.m │ └── Script_SABR_European_AntonovApprox.m ├── CTMC ├── Diffusion_2D │ ├── Script_European_Barrier_Bermudan_Options.m │ ├── get_payoff_G_matrix_from_ygrid_2d.m │ ├── get_transform_matrices_2d.m │ └── price_2d_ctmc.m ├── Diffusion_3D │ ├── get_payoff_G_matrix_from_ygrid_3d.m │ ├── get_transform_matrices_3d.m │ └── price_3d_ctmc.m ├── Q_Matrix.m ├── decorrelate.m └── get_CTMC_decorr_boundaries.m ├── Comparisons ├── 2D │ ├── Script_Compare_Exchange.m │ └── Script_Compare_Spread.m ├── BlackScholes │ ├── Script_Compare_American.m │ ├── Script_Compare_Asian.m │ ├── Script_Compare_Barrier.m │ └── Script_Compare_European.m ├── Heston │ ├── Script_Compare_European.m │ └── Script_Compare_VarianceSwaps.m ├── Levy │ └── Script_Compare_European.m ├── Regime_Switching │ └── Script_Compare_European.m └── SABR │ └── Script_Compare_European.m ├── Fourier ├── CONV │ └── CONV_European_Price.m ├── COS │ └── Price_Exchange_COS2D.m ├── CarrMadan │ └── CarrMadan_European_Price_Strikes.m ├── Heston │ └── Heston1993KahlJaeckelLordRev3.m ├── HilbertTransform │ └── Hilbert_European_Price.m ├── Lewis │ └── Lewis_European_Price.m └── MellinTransform │ ├── Mellin_BilateralGamma_European_Price.m │ ├── Mellin_FMLS_European_Price.m │ ├── Mellin_NIG_European_Delta.m │ ├── Mellin_NIG_European_Gamma.m │ ├── Mellin_NIG_European_Price.m │ ├── Mellin_NegTempStable_European_Price.m │ ├── Mellin_SymmetricVG_European_Delta.m │ ├── Mellin_SymmetricVG_European_Gamma.m │ ├── Mellin_SymmetricVG_European_Price.m │ ├── Mellin_VG_European_Price.m │ └── pochhammer.m ├── LICENSE ├── Lattice └── BlackScholes │ ├── BinomialLattice_BlackScholes_func.m │ ├── Script_BlackScholes_BinomialLattice.m │ └── TrinomialLattice_BlackScholes_func.m ├── Monte_Carlo ├── American │ ├── Price_MC_American_Strikes_func.m │ └── Script_American_JumpDiffusion.m ├── Asian │ ├── Price_MC_Asian_Strikes_func.m │ └── Script_Asian_JumpDiffusion.m ├── Barrier │ ├── Price_MC_Barrier_Strikes_func.m │ ├── Script_Barrier_JumpDiffusion.m │ └── Script_Barrier_StochasticVolatility.m ├── DoubleExpoRnd.m ├── European │ ├── Price_MC_European_Strikes_func.m │ ├── Script_European_JumpDiffusion.m │ ├── Script_European_RegimeSwitching.m │ └── Script_European_StochasticVolatility.m ├── Lookback │ ├── Price_MC_Hindsight_Strikes_func.m │ ├── Price_MC_Lookback_func.m │ ├── Script_Hindsight_JumpDiffusion.m │ └── Script_Lookback_JumpDiffusion.m ├── MixedNormalRnd.m ├── PoissonRnd.m ├── ReturnBarrier │ ├── Price_MC_Return_Barrier_Strikes_func.m │ └── Script_Return_Barrier_JumpDiffusion.m ├── ReturnTimer │ ├── Price_MC_Return_Timer_Strikes_func.m │ └── Script_Return_Timer_JumpDiffusion.m ├── Simulate_Diffusion_2D.m ├── Simulate_General_paths_func.m ├── Simulate_Heston_Euler_Schemes.m ├── Simulate_Jump_Diffusion_Log_Returns_func.m ├── Simulate_Jump_Diffusion_func.m ├── Simulate_RegimeSwitching_Diffusion_Unbiased.m ├── Simulate_RegimeSwitching_Diffusion_func.m ├── Simulate_SLV_func.m ├── Simulate_StochVol_Jumps_func.m └── Variance_Swaps_Options │ └── Price_MC_Var_Swaps_func.m ├── PDE_FiniteDifference └── BlackScholes │ ├── CrankNicolsonFD_BlackScholes_func.m │ ├── ExplicitFD_BlackScholes_func.m │ └── ImplicitFD_BlackScholes_func.m ├── PROJ ├── LEVY │ ├── American_Options │ │ ├── PROJ_Bermudan_Put.m │ │ └── Script_BermudanOptions.m │ ├── Asian_Options │ │ ├── PROJ_Asian.m │ │ └── Script_AsianOptions.m │ ├── Barrier_Options │ │ ├── PROJ_Barrier.m │ │ ├── PROJ_Double_Barrier.m │ │ ├── Script_BarrierOptions.m │ │ └── Script_DoubleBarrierOptions.m │ ├── Cliquets │ │ ├── PROJ_Cliquet.m │ │ ├── PROJ_MultiplicativeCliquet.m │ │ └── Script_Cliquets_EIA.m │ ├── Credit_Default_Swaps │ │ ├── PROJ_CDS.m │ │ └── Script_Credit_Default_Swap.m │ ├── Equity_Linked_Death_Benefits │ │ ├── PROJ_GMDB_ComboExpos_Linear.m │ │ ├── PROJ_GMDB_PiecewiseConstantMortality_Linear.m │ │ ├── Script_GMDB_ComboExpos.m │ │ ├── Script_GMDB_PiecewiseConstantMortality.m │ │ └── lifetable_qx.txt │ ├── European_Options │ │ ├── PROJ_European.m │ │ └── Script_EuropeanOptions.m │ ├── Fader_Options │ │ └── Script_FaderOptions.m │ ├── Forward_Starting_Options │ │ ├── PROJ_ForwardStarting.m │ │ └── Script_ForwardStartingOption.m │ ├── GMDB_DCA │ │ ├── PROJ_GMDB_DCA.m │ │ ├── PROJ_GMDB_DCA_Fast.m │ │ ├── Script_GMDB_DCA.m │ │ ├── gen_func.m │ │ ├── make_combo_2_expos_pmf.m │ │ └── make_mortality_table_pmf.m │ ├── GMXB_Surrender │ │ ├── PROJ_GMXB_Surrender.m │ │ ├── Price_GMDB_BSM_NoSurrender.m │ │ ├── Scripts │ │ │ └── Script_GMXB_Surrender_Table_Accuracy.m │ │ └── make_mortality_table_pmf.m │ ├── Geometric_Asian_Options │ │ ├── PROJ_Geometric_Asian.m │ │ └── Script_GeometricAsianOptions.m │ ├── Helper_Functions │ │ ├── getModelInput.m │ │ ├── getModelInput_Heston.m │ │ └── getTruncationAlpha.m │ ├── Lookback_Options │ │ ├── PROJ_Lookback.m │ │ └── Script_Lookback_Options.m │ ├── Parisian_Options │ │ ├── PROJ_Parisian.m │ │ └── Script_ParisianOptions.m │ ├── README.md │ ├── RN_CHF │ │ ├── SYMB_RN_BSM.m │ │ ├── SYMB_RN_BilateralGamma.m │ │ ├── SYMB_RN_BilateralGammaMotion.m │ │ ├── SYMB_RN_CGMY.m │ │ ├── SYMB_RN_KoBoL.m │ │ ├── SYMB_RN_Kou.m │ │ ├── SYMB_RN_MJD.m │ │ ├── SYMB_RN_NIG.m │ │ ├── SYMB_RN_VG.m │ │ ├── cf_RN_BSM.m │ │ ├── cf_RN_BilateralGamma.m │ │ ├── cf_RN_BilateralGammaMotion.m │ │ ├── cf_RN_CGMY.m │ │ ├── cf_RN_Heston.m │ │ ├── cf_RN_Heston_KDE.m │ │ ├── cf_RN_KOU.m │ │ ├── cf_RN_KoBoL.m │ │ ├── cf_RN_MJD.m │ │ ├── cf_RN_NIG.m │ │ └── cf_RN_VG.m │ ├── ReturnBarrier_Options │ │ ├── PROJ_ReturnBarrier.m │ │ ├── Script_ReturnBarrierOptions.m │ │ └── getModel.m │ ├── Step_Options │ │ ├── PROJ_StepOption_AutoParam.m │ │ └── Script_StepOptions.m │ ├── Swing_Options │ │ ├── PROJ_Swing_ConstantRecovery_Aug.m │ │ ├── PROJ_Swing_FixedRights.m │ │ ├── PROJ_Swing_LinearRec.m │ │ ├── Script_SwingOptions.m │ │ └── coeff_funcs │ │ │ ├── G_func_swing.m │ │ │ ├── GetThetaG_swing.m │ │ │ ├── Get_VarthsDD_swing.m │ │ │ ├── Get_VarthsPSI_swing.m │ │ │ ├── Get_Varths_swing.m │ │ │ ├── Get_psis_swing.m │ │ │ └── Get_psis_swing_VER2.m │ └── Variance_Swaps_Options │ │ ├── PROJ_DiscreteVariance_Swaps_Options.m │ │ └── Script_VarianceSwapsOptions.m ├── README.md ├── REGIME_SWITCHING │ ├── European_Options │ │ ├── PROJ_RegimeSwitching_European.m │ │ └── Script_EuropeanOptions.m │ ├── get_RS_chf.m │ └── get_RS_matrix_exponential.m ├── SABR │ ├── European_American_Barrier │ │ ├── SABR_EurBarAmer_func.m │ │ └── Script_European_Barrier_American.m │ └── Helper_Functions │ │ ├── General_Q_Matrix_Newest.m │ │ ├── getGenerator_Q_MatrixOnly.m │ │ └── getNonUniformGrid.m ├── STOCHASTIC_INTEREST │ ├── Helper_Functions │ │ ├── get_rate_grid_boundaries.m │ │ └── get_short_rate_grid_diffusion_funcs.m │ └── One_Factor │ │ ├── Bonds │ │ ├── Price_Bond_Analytic_OneFactor.m │ │ └── Price_Bond_CTMC_OneFactor.m │ │ └── Equity_Swaps_Caps │ │ ├── Analytical_Price_Equity_Swap_Cap_ConstRate.m │ │ └── CTMC_Price_Equity_Cap.m ├── STOCHASTIC_VOL │ ├── American_Bermudan │ │ ├── PROJ_American_StochVol.m │ │ └── Script_American.m │ ├── Barrier │ │ ├── PROJ_Barrier_StochVol.m │ │ └── Script_Barrier.m │ ├── DV_Swaps_Options │ │ ├── Analytical_Swaps │ │ │ ├── hestonfairstrike.m │ │ │ └── hullwhitefairstrike.m │ │ ├── GetAlph_DisreteVariance.m │ │ ├── PROJ_DiscreteVariance_StochVol.m │ │ └── Script_DV_Swap_Options.m │ ├── EIA_Cliquet │ │ ├── PROJ_Cliquet_EIA_StochVol.m │ │ └── Script_EIA_Cliquet.m │ ├── European │ │ └── Script_European.m │ └── Helper_Functions │ │ ├── Q_Matrix.m │ │ ├── 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