Jul
25

The primary feature that differentiates GARCHKIT from other GARCH implementations in Matlab is its ability to incorporate covariates into the second moment. The current version of GARCHKIT, 1.0b3, allows univariate ARMA(P,Q)-GARCH(R,S) estimation and simulation using maximum likelihood. The conditional distribution may be normal, student's t or a mixture of two normals.

Version 1.1 now estimates and simulates FIGARCH and GARCH-in-Mean models.

Code can be downloaded at http://www-agecon.ag.ohio-state.edu/people/roberts.628/papers/research/garchkit/garchkit.html

Version 1.1 now estimates and simulates FIGARCH and GARCH-in-Mean models.

Code can be downloaded at http://www-agecon.ag.ohio-state.edu/people/roberts.628/papers/research/garchkit/garchkit.html

Jul
25

Computes a weighted covariance matrix and associated values

http://www.stanford.edu/~wfsharpe/mat/mlfn.htm

http://www.stanford.edu/~wfsharpe/mat/mlfn.htm

Jul
25

**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

Jul
25

An aggregation of Matlab routines that for research on copulas for financial time series . A few elementary illustration code is given in "copula_example_code.m". A table of contents is given in "contents.xls". Shortly, the toolbox comprises CDFs, PDFs, log-likelihoods and random number generators for numerous basic bivariate copulas, including the Clayton, Gumbel, Normal, Student's t, Frank, Plackett and symmetrised Joe-Clayton (SJC) copulas. Simple codes for time-varying Normal, Gumbel and SJC copulas are included as well.

http://econ.duke.edu/~ap172/code.html

http://econ.duke.edu/~ap172/code.html

Jul
25

What is Terreneuve? Simply: "A lightweight C++ library for quantitative finance applications."

In more detail, Terreneuve is our team name for the project in the Fall 2005 Computing in Finance course at NYU's Courant Institute Masters in Math Finance. Working from this specification we hope to design a useable C++ library for some important quantitative finance applications.

Our target audience (aside from our prof ;-)) is students in quantitative finance and those seeking a gentle introduction to financial computing. Obviously, we also intend to use the project as a learning opportunity. We refer those looking for a more comprehensive (and complex) library to the quantlib project.

http://terreneuve.sourceforge.net/

In more detail, Terreneuve is our team name for the project in the Fall 2005 Computing in Finance course at NYU's Courant Institute Masters in Math Finance. Working from this specification we hope to design a useable C++ library for some important quantitative finance applications.

Our target audience (aside from our prof ;-)) is students in quantitative finance and those seeking a gentle introduction to financial computing. Obviously, we also intend to use the project as a learning opportunity. We refer those looking for a more comprehensive (and complex) library to the quantlib project.

http://terreneuve.sourceforge.net/