Basket Option Pricer v1.0.exe Calculates the fair value of an option that pays off the value of the asset with a specified ranking out of a basket of up to five assets. Uses a basic Monte Carlo (MC) simulation or a Quasi Monte Carlo (QMC) low-discrepancy sequence. 

Brady Bond Pricer v1.0.exe Value coupon-bearing bonds with stochastic risk of default (hazard rate). The hazard rate model is the mean reverting CIR usually used for modeling the spot interest rate. There can be a rolling guarantee on the next coupons, and/or a guaranteed principal. 

Black-Scholes Option Pricer v1.0.exe Calculates option values and the important greeks for calls, puts, binary calls and binary puts. 

Black-Scholes Option Pricer (American) v1.0.exe Calculation of option fair values by the numerical solution of the Black-Scholes partial differential equation. 

Chooser Passport Option Pricer v1.0.exe Value a chooser passport option.

Implied Volatility Calculater v1.0.exe Implied volatility calculator. Also outputs the important greeks. 

Kolmogorov Solver v1.0.exe Find the probability that a volatility range will be breached before a specified time.

Parisian.exe Price Parisian options by a finite-difference solution of a three-dimensional partial differential equation.

Passport Option Pricer v1.0.exe Value a vanilla passport option.

StatH.exe Find the optimal static hedge for a portfolio of options using traded vanilla options.

Uncertain Parameter Portfolio Optimizer v1.0.exe Values a portfolio of options in best/worst cases using a range of values for each of the volatility, interest rate and the dividend yield.