Started adding book codes from ‘Option Valuation under Stochastic Volatility II’

I have started adding book codes to this site. Almost all will be Mathematica notebooks (ending in .nb) , although there will be some C/C++. This may be a slow process since most files will require some clean-up before posting.

One file has been added so far: from Ch. 1: CIRJumpStart.nb, which was used to generate Fig. 1.6 in the book and below:

Fig. 1.6 CIR Bond Process with a Delayed Jump-start.
Fig. 1.6. CIR Bond Process with a Delayed Jump-start.

The figure shows a fit of the CIR bond process with a delayed jump-start (solid curve) to the US Treasury Zero Coupon yield curve (dashed curve), using Feb. 10, 2012 data. The delayed jump-start is/was a mechanism to model the end of the ZIRP (Zero Interest Rate Policy) regime. Details and related models are found in the book Chapter 1: “Slow Reflection, Jump-returns, and Short-term Interest Rates”.

The code file location is the Latest Book link (Just click on ‘Selected Codes’)

I will probably just work my way slowly through the book, but if you are a reader and particularly want to see certain book codes, please let me know by a comment or email. I will try to accommodate if possible.



2 thoughts on “Started adding book codes from ‘Option Valuation under Stochastic Volatility II’”

  1. Dear Mr. Lewis,

    I just bought your book “Option Valuation under Stochastic Volatility II” and downloaded your code for Chapter 9. BinomialHHLMultiple.cpp seems to be hard coded to work with put. How about call?


    1. Bo,
      First, thank you so much for buying the book.
      As for that code, modifying it to handle the call option is one of two Suggested Reader Projects for that chapter, with Hints on page 415.

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