<![CDATA[Quantitative Finance Collector]]> http://www.mathfinance.cn/index.php en-US http://www.mathfinance.cn/Java-implementation-of-R-language/ <![CDATA[Java Implementation of R Language]]> abiao <> Wed, 22 Dec 2010 09:49:56 +0000 http://www.mathfinance.cn/Java-implementation-of-R-language/ 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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Read the full post at Java Implementation of R Language. ]]> http://www.mathfinance.cn/Long-vega-financial-engineering-tool/ <![CDATA[The Long Vega Financial Engineering Tool]]> abiao <> Tue, 12 May 2009 19:31:09 +0000 http://www.mathfinance.cn/Long-vega-financial-engineering-tool/
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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Read the full post at The Long Vega Financial Engineering Tool. ]]> http://www.mathfinance.cn/jquantlib/ <![CDATA[Java Quantlib]]> abiao <> Tue, 19 Aug 2008 08:04:50 +0000 http://www.mathfinance.cn/jquantlib/ 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,

Quotation
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 fans?
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Read the full post at Java Quantlib. ]]> http://www.mathfinance.cn/LIBOR_Market_Model/ <![CDATA[Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model]]> abiao <> Mon, 28 Jul 2008 08:06:34 +0000 http://www.mathfinance.cn/LIBOR_Market_Model/

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


http://www.javaquant.net/downloads.html
wiki(LIBOR Market Model)
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Read the full post at Monte Carlo Pricer Brace Gatarek Musiela / Jamishidian Model. ]]> http://www.mathfinance.cn/barrier_option_jump/ <![CDATA[Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion]]> abiao <> Mon, 28 Jul 2008 08:03:58 +0000 http://www.mathfinance.cn/barrier_option_jump/
http://www.javaquant.net/downloads.html


wiki(Barrier option)
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Read the full post at Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion. ]]>