Quantitative Finance
Collector is a blog on Quantitative finance codes,
methods in math
finance focusing on derivative pricing, quantitative trading
and risk management, with featured entries:
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Neural network prediction |
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Earn money as
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Feb
20
Historical Volatility Estimation
Dozens of ways to calculate historical volatility, let alone volatility (I mean, implied volatility, stochastic volatility, for instance.). Here is the MATLAB code that one could use to estimate historical volatility using different methods
Historical Close-to-Close volatility
Historical High Low Parkinson Volatility
Historical Garman Klass Volatility
Historical Garman Klass Volatility modified by Yang and Zhang
Historical Roger and Satchell Volatility
Historical Yang and Zhang Volatility
Average of all the historical volatilities calculated above
Enjoy. http://tradingwithmatlab.blogspot.com/2008/06/estimate-historical-volatility.html
Historical Close-to-Close volatility
Historical High Low Parkinson Volatility
Historical Garman Klass Volatility
Historical Garman Klass Volatility modified by Yang and Zhang
Historical Roger and Satchell Volatility
Historical Yang and Zhang Volatility
Average of all the historical volatilities calculated above
Enjoy. http://tradingwithmatlab.blogspot.com/2008/06/estimate-historical-volatility.html
Several matlab packages
wavelet analysis 
Quantitative Finance Collector is simply a record of my financial engineering learning journey as a master in quantitative finance, a PhD candidate in finance and a Quantitative researcher, with most of the entries written at school. 
