<![CDATA[Quantitative Finance Collector]]> http://www.mathfinance.cn en-US http://www.mathfinance.cn/r-bloggers/ <![CDATA[R Bloggers]]> abiao Wed, 08 Sep 2010 08:56:04 +0000 http://www.mathfinance.cn/r-bloggers/ Congratulations to myself that this blog's R category has been indexed by R bloggers, which is absolutely an encouragement to write more quality articles on R, thank you Tal for your permission.

What is R-Bloggers.com?
Quotation
R-Bloggers.com is a central hub (e.g: A blog aggregator) of content collected from bloggers who write about R (in English). The site will help R bloggers and users to connect and follow the “R blogosphere”.


Interested readers please check http://www.r-bloggers.com/ for more.
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]]> http://www.mathfinance.cn/free-code-for-derivative-pricing/ <![CDATA[ Free C++, Matlab, and VBA code for derivative pricing]]> abiao Fri, 29 Jan 2010 12:02:40 +0000 http://www.mathfinance.cn/free-code-for-derivative-pricing/ Volopta is a site I came across yesterday, it contains free C++, Matlab, and VBA code for derivatives pricing. Derivatives categories include equity options, options on bonds, swaps, swaptions, options on futures, variance swaps, collateralized debt obligations, credit default swaps, volatility models, etc.

At the moment the files uploaded are only a few, which is understandable considering it is a newly launched website, take a look if interested, http://www.volopta.com/index.html.

Have a nice weekend.
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]]> http://www.mathfinance.cn/matlab-file-exchange/ <![CDATA[Matlab File Exchange]]> abiao Thu, 21 Jan 2010 10:41:42 +0000 http://www.mathfinance.cn/matlab-file-exchange/ I guess most of Matlab users know Matlab central: an open exchange for the Matlab and simulink user community, where a major section is Matlab file exchange, including a large list of Matlab files across wide application, for example, you can choose to browse files by category
Open in new window
Specifically, financial services, Mathematical modeling and Statistics and Probability are three categories I keep eyes on.

Besides Matlab central, Matlab M-files database built by university of Stuttgart is another site I often visit, it has a smaller size but grow quickly, focusing on using Matlab for numerical calculation.

Stay tuned.
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]]> http://www.mathfinance.cn/skew-normal-student-t-distributions/ <![CDATA[Implementation of Skew Normal/Student t distributions]]> abiao Mon, 15 Dec 2008 20:59:20 +0000 http://www.mathfinance.cn/skew-normal-student-t-distributions/ SKEW is a Gauss library for computing pdf, cdf and inverse of the cdf and simulating random numbers for the SN, ST, MSN and MST distribution functions described in Azzalini, A. and Capitanio A.[2003], Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t distribution, JRSS B, 65, 367-389.

Check A Gauss implementation of Skew Normal/Student distributions at http://www.thierry-roncalli.com/#gauss
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]]> http://www.mathfinance.cn/econometrics-matlab/ <![CDATA[Econometrics Software]]> abiao Thu, 30 Oct 2008 20:33:14 +0000 http://www.mathfinance.cn/econometrics-matlab/ Dozens of Matlab code for Econometrics study, including:

Brock, Dechert& Scheinkman (1986) test for independence based on the correlation dimension

Significance level of the BDS statistic in small samples

Geweke &Porter-Hudak (1983) estimation of fractional differencing parameter

Heteroskedasticity-consistent variance-ratio evaluationfor any q spacing

Engle's(1982) test for ARCH

Box-Pierce(1970) Q test using Ljung & Box's (1978) finite-sample correction

Phillips-Perron test of the unit-root hypothesis in a Dickey-Fuller regression

Durbin h statistic and significance of the hypothesis of no serial correlation

Durbin-Watson d-statistic and significance level for the null hypothesis: DW = 2

http://ww61.tiki.ne.jp/~kanzler/index.htm#L.%20Kanzler:%20Software
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]]> http://www.mathfinance.cn/collection-r-code/ <![CDATA[Collection of R codes]]> abiao Thu, 09 Oct 2008 20:27:07 +0000 http://www.mathfinance.cn/collection-r-code/ R-Cookbook.com is a collection of "recipes"--problems, solutions, and working examples--contributed by the R community in order to share code, promote the use of R, and make the learning process more efficient for new users.

http://www.r-cookbook.com/
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]]> http://www.mathfinance.cn/Peter-Acklam-inverse-normal-cumulative-distribution/ <![CDATA[Peter J Acklam inverse normal cumulative distribution]]> abiao Fri, 19 Sep 2008 13:23:45 +0000 http://www.mathfinance.cn/Peter-Acklam-inverse-normal-cumulative-distribution/ Random number generation is essential for Monte Carlo simulation, among random numbers, normal distributed numbers are undoubtedly the most widely used ones, here comes the problem, for a given uniform random numbers series, how do you compute the inverse normal cumulative distribution function?

I once introduced Moro inverse normal function for this purpose, here is another power function named Peter J Acklam inverse normal cumulative distribution, for my study and work i have tried both but couldnot decide which one is better, here i quote the sentence from the book "Monte carlo methos in finance" by Peter Jackel: Equally, for the inverse cumulative normal function z = N'(p), there are several numerical implementations providing different degrees of accuracy and efficiency. A very fast and accurate approximation is the one given by Boris Moro in [Mor95]. The most accurate whilst still highly efficient implementation currently freely available, however, is probably the algorithm by Peter Acklam. when allowing for an additional evaluation of a machine-accurate cumulative normal distribution function, Acklam’s procedure is able to produce the inverse cumulative normal function to full machine accuracy by applying a second stage refinement using Halley’s method.

Good, here is the page for Peter J Acklam inverse normal cumulative distribution codes in several languages, http://home.online.no/~pjacklam/notes/invnorm/index.html#The_algorithm, enjoy.
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]]> http://www.mathfinance.cn/quantitative-macroeconomics/ <![CDATA[Code for Quantitative Macroeconomics]]> abiao Mon, 01 Sep 2008 12:01:52 +0000 http://www.mathfinance.cn/quantitative-macroeconomics/ I am not a fan of Quantitative Macroeconomics, which uses standard neoclassical theory to explain business cycle fluctuations and tries to answer the following questions, to name a few,
What are the empirical characteristics of business cycles?
What brings business cycles about?
What propagates them?
Who is most affected and how large would be the welfare gains of eliminating them?
What can economic policy, both fiscal and monetary policy do in order to soften or eliminate business cycles?
Should the government try to do so?
......

Sounds boring? I found this site when I searched "Kalman filter", click the following link for codes in Quant economics of different programming languages.
http://ideas.repec.org/s/dge/qmrbcd.html
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]]> http://www.mathfinance.cn/optimization-packages/ <![CDATA[Optimization packages]]> abiao Mon, 11 Aug 2008 07:40:31 +0000 http://www.mathfinance.cn/optimization-packages/ Optimization models play an increasingly important role in financial decisions. Many computational nance problems ranging from asset allocation to risk management, from option pricing to model calibration can be solved efficiently using modern optimization techniques. Several classes of optimization problems including linear, quadratic, integer, dynamic, stochastic, conic, and robust programming are often encountered in fi nancial models. This site collects dozens of optimization packages in different programming languages, you will find one for you.


http://www.rpi.edu/~mitchj/pack.html#abacus
wiki(Optimization)
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]]> http://www.mathfinance.cn/black_scholes_language/ <![CDATA[Black Scholes in Multiple Languages]]> abiao Wed, 30 Jul 2008 07:54:40 +0000 http://www.mathfinance.cn/black_scholes_language/ Black Scholes formula is widely used for vanilla option pricing, which is also easy to code, but how many language can you use? I can do it in Matlab, C++, GAUSS, VBA, PHP. Guess what, this site collects more than 30 languages, have fun!
Open in new window
http://www.espenhaug.com/black_scholes.html


wiki(black scholes)
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]]> http://www.mathfinance.cn/matlab_tips_tricks/ <![CDATA[matlab tips and tricks]]> abiao Sun, 27 Jul 2008 09:52:17 +0000 http://www.mathfinance.cn/matlab_tips_tricks/ Great site for anyone who wants to optimize his matlab file, speed up computer, have fun.

http://www.ee.columbia.edu/~marios/matlab/matlab_tricks.html


wiki(matlab)
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]]> http://www.mathfinance.cn/Black_scholes_pricing/ <![CDATA[On-Line Options Pricing Probability Calculators]]> abiao Fri, 25 Jul 2008 17:54:16 +0000 http://www.mathfinance.cn/Black_scholes_pricing/ Black-Scholes pricing analysis -- Ignoring dividends:  Lets you examine graphically how changes in stock price, volatility, time to expiration and interest rate affect the option price, time value, the derived "Greeks" (delta, gamma, theta, vega, rho) and the probability of the option closing in the money.   For simplicity, dividends are ignored so you just specify the time to expiration in days rather than entering specific dates.

more at http://www.hoadley.net/options/calculators.htm

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]]> http://www.mathfinance.cn/GAUSS_finance/ <![CDATA[Archive of Finance Econometrics GAUSS Matlab Code]]> abiao Fri, 25 Jul 2008 17:36:11 +0000 http://www.mathfinance.cn/GAUSS_finance/ Procedures and necessary declaration files to calculate fitted option prices using Fourier Inversion methods as in Bates (RFS 1996). This allows for a variety of possible risk neutral diffusions which can accommodate stochastic volatility, jumps, as well as correlation between the volatility process and underlying asset.

more at http://www.cameronrookley.com/gtoml/archive.html


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]]> http://www.mathfinance.cn/Financial_model_library/ <![CDATA[Financial Model Library by Thomas Ho]]> abiao Thu, 24 Jul 2008 14:17:22 +0000 http://www.mathfinance.cn/Financial_model_library/ 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
          o We reserve the copyright of the Excel spreadsheet model.
    * 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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