Jul 24

SAS for Financial Engineers

Posted by abiao at 16:23 | Code » Other | Comments(0) | Reads(9369)
SAS for Financial Engineers:
1 – Introduction
2 – Data Management
3 – Financial Modeling(Important PROCs and Advanced PROCs: IML, SQL)
4 – Advanced Techniques (SAS Macro and other programming techniques)

http://faculty.haas.berkeley.edu/peliu/computing/

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Jul 24

MatLab for Financial Engineers

Posted by abiao at 16:18 | Code » Matlab | Comments(0) | Reads(20971)
MatLab for Financial Engineers:
1-Basics
2–Statistical Analysis
3–Application to Finance I (Monte Carlo Simulations – Statistics Toolbox)
4–Application to Finance II(Portfolio Choice, Risk Management – Optimum Toolbox)
5--Application to Finance III (Binomial and Trinomial Tree Valuation)

http://faculty.haas.berkeley.edu/peliu/computing/
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Jul 24

Pricing Derivatives Securities using MATLAB

Posted by abiao at 16:12 | Code » Matlab | Comments(0) | Reads(10793)
A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB".

Highlights:
* Pricing a portfolio of vanilla options using Black-Scholes, a Binomial Tree and Monte Carlo simulation.
* Pricing exotic options using the implied trinomial tree (ITT) method
* Hedging using derivatives
* Pricing interest rate derivatives using the BDT model

Jul 24

Parameters estimation of GARCH model

Posted by abiao at 14:19 | Code » VBA/Excel | Comments(9) | Reads(30334)
Parameters estimation of GARCH model.

http://w3.uniroma1.it/passalac/buffer/GARCH.xls

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Jul 24

Financial Model Library by Thomas Ho

Posted by abiao at 14:17 | Code » Code site | Comments(0) | Reads(11138)
Introduction:

* "Financial Model Library" is a library of financial models in an Excel spreadsheet. The purpose of the library is to promote usage and better understanding of financial models.
* All financial models in this section can be used free of charge and can be distributed.
* We hope that you can also contribute to the library of financial models by submitting your Excel model spreadsheet in the format consistent with our models. The rules for submission are similar to that of a Journal. That is:
o We maintain the right to reject your submission or suggest
o revisions of the models
* The site is not responsible for any errors in the models and copyright violation of any models submitted.

http://www.thomasho.com/mainpages/analysoln.asp
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