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Aug 13

On Geometric and Arithmetic Approaches to Attribution Linking

Posted by abiao at 09:25 | Review | Comments(0) | Reads(11110)
On Geometric and Arithmetic Approaches to Attribution Linking: MATLAB Code: The new Arithmetic Linking Algorithm effectively “patches the existing holes” in other methods. Unlike the standard and modified Frongello Algorithms, the new method is independent of the month order. Compared to Carino and Menchero, this is a linear and non-smoothing construction. The new algorithm is simple, easy to use, and hence more appropriate for practitioners without advanced training in mathematics. It should eventually replace whatever Arithmetic algorithm is used by Performance Measurement specialists.

R/Finance 2012: Applied Finance with R: slides for the R/Finance 2012: Applied Finance with R conference.

Black-Scholes Option Pricing in MATLAB using the NAG Toolbox: how to use the NAG Toolbox for MATLAB to replace some of the option pricing routines in the Finance Toolbox.


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