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Dec 22
R is powerful for statistical computing, however, it has its own shortcomings such as difficult to deal with large data, which is one of the motivations of Renjin. I haven't tested it, as described on its page:
Renjin seeks to be a pure Java implementation of the R Language for Statistical Computing.

Project Goals: Build an implementation of R that:
Runs purely in the JVM, including Google App Engine
Fully compatible with (pure) R packages written for R 2.10.x
Compiles elligible, heavily-used closures to JVM byte code
Enables R-language objects to be backed by datastores other than memory

If you happen to use Java and want to test it, download the code @ http://code.google.com/p/renjin/
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May 12
This tool can replicate and price any non path-dependent, continuous piecewise linear payoff function on a stock. You can use the tool to price and value option positions and simple structured products on a stock.

The Financial Engineering tool automatically replicates and prices a given continuous piecewise linear payoff function. So far the tool can only handle payoffs on a stock, where the payoff is denominated in the same currency as the stock.

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Aug 19

Java Quantlib

Posted by abiao at 08:04 | Code » Java | Comments(3) | Reads(29250)
Many people know QuantLib, which is a free/open-source library for quantitative finance for modeling, trading, and risk management in real-life written in C++, for those people prefer Java language, they have to read & understand C++ codes and transfer them to Java code. JQuantLib is aiming at these Java-fans group,

JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in Java. It provides "quants" and Java application developers several mathematical and statistical tools needed for the valuation of financial instruments, among other features.

Is there MQuantLib for Matlab fansshy?
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Jul 28
Table with Java sources

Closed expressions and Approximate Models for various Financial Option on Equity
Binary Tree method to Price Options on Equity
Monte Carlo pricer of Exotics
Monte Carlo Pricer of American Calls and Puts
Monte Carlo Pricer of European Barrier, Knock in and out Options
Monte Carlo Pricer European Spread Options
Monte Carlo Pricer of Interest Rate Derivatives (One factor)
Monte Carlo Pricer Ho Lee Model
Monte Carlo Pricer Hull White Model
Monte Carlo Pricer Black Derman Toy Model
Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model
Monte Carlo pricer of exotics with constant Jump-Diffussion
Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion
Monte Carlo Pricer European Spread Options with Jump-Diffusion

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Jul 28
how to price barrier options with jump-diffusion by monte carlo simulations, codes are in Java language.


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