Quantitative finance collector
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Jul 26

    * Asian, fixed strike
    * Asian, floating strike
    * Barrier
    * Barrier, double
    * Binary, asset-or-nothing
    * Binary, cash-or-nothing
    * Binary, gap
    * Double Binary
    * Chooser, simple
    * Chooser, complex
    * Compound
    * Correlation
    * Exchange
    * Extendible, holder
    * Extendible, writer
Jul 26
an example of code used to price a spread option using Monte Carlo simulations (Haug).


Jul 25
Jackknifing Bond Option Prices. Programs and data used in the paper:  Swap and LIBOR Rates;   Matlab code for 1-factor CIR in simulations;   Matlab code for 1-factor CIR in applications;   Matlab code for 2-factor CIR in simulations;   Matlab code for 2-factor CIR in applications  

Jul 25
CompEcon is a set of MATLAB functions for solving a variety of problems in economics and finance. The library functions include rootfinding and optimization solvers, a integrated set of routines for function approximation using polynomial, splines and other functional families, a set of numerical integration routines for general functions and for common probability distributions, general solvers for Ordinary Differential Equations (both initial and boundary value problems), routines for solving discrete and continuous time dynamic programming problems, and a general solver for financial derivatives (bonds, futures, options).

Jul 25
Quasi-maximum likelihood toolbox in matlab.


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