Mar
26
EasyPCA is a small educational program intended to help to understand how the Principal Component Analysis (PCA) algorithm works. It has been coded in a very modular way in order to make it easy to understand the code.
PCA is a useful statistical technique that has found application in fields such as face recognition and image compression, and is a common technique for finding patterns in data of high dimension.
For more detail please check http://transp-or2.epfl.ch/pagesPerso/javierFiles/software.php
PCA is a useful statistical technique that has found application in fields such as face recognition and image compression, and is a common technique for finding patterns in data of high dimension.
For more detail please check http://transp-or2.epfl.ch/pagesPerso/javierFiles/software.php
Mar
26
This is a review of the week.
You are perhaps a modest enterprise owner who already holds a website, You might be a SOHO work-at-home self-employee who would like to make additional revenue for yourself. You may be an cyberspace seller who prefer to bring affiliate or marketing to the advanced level. Disregarding what you wish to do on internet you're likely becoming to need to understand how to make a website that operates.
While it refers to constructing websites there's many confusion about the best method to do. Nevertheless, it is crucial to choose what your purpose is prior to do it, even before you register a host name!
Should you just prefer to "set up a website" and do not concern whether or not it gets any visitor or has any possibility to make you an income, that's easy. There are a lot of free lunch services that will allow you produce a personal website to share experiance or make friends online.
However, if you prefer to create website that looks appealing or more professional, you will have to plan a little more carefully. BlueVoda is a drag & drop Web site builder that enables a user with almost no experience to build a fantastic Web site. No HTML, PHP or any other coding knowledge is demanded. From a simple homepage to a fancy WEB2.0, you can also own one with few simple steps.
You are perhaps a modest enterprise owner who already holds a website, You might be a SOHO work-at-home self-employee who would like to make additional revenue for yourself. You may be an cyberspace seller who prefer to bring affiliate or marketing to the advanced level. Disregarding what you wish to do on internet you're likely becoming to need to understand how to make a website that operates.
While it refers to constructing websites there's many confusion about the best method to do. Nevertheless, it is crucial to choose what your purpose is prior to do it, even before you register a host name!
Should you just prefer to "set up a website" and do not concern whether or not it gets any visitor or has any possibility to make you an income, that's easy. There are a lot of free lunch services that will allow you produce a personal website to share experiance or make friends online.
However, if you prefer to create website that looks appealing or more professional, you will have to plan a little more carefully. BlueVoda is a drag & drop Web site builder that enables a user with almost no experience to build a fantastic Web site. No HTML, PHP or any other coding knowledge is demanded. From a simple homepage to a fancy WEB2.0, you can also own one with few simple steps.
Mar
24
CBOE Volatility Index, VIX, was originally designed to measure the market’s expectation of 30-day volatility implied by at-the-money S&P 100 Index (OEX) option prices. Now VIX is used to reflect a new way to measure expected volatility, one that continues to be widely used by financial theorists, risk managers and volatility traders alike. The new VIX is based on the S&P 500 Index (SPX), the core index for U.S. equities, and estimates expected volatility by averaging the weighted prices of SPX puts and calls over a wide range of strike prices. By supplying a script for replicating volatility exposure with a portfolio of SPX options, this new methodology transformed VIX from an abstract concept into a practical standard for trading and hedging volatility.
Introduced by this paper http://www.cboe.com/micro/vix/vixwhite.pdf, VIX calculation is done step-by step as:
1), Select the options to be used in the VIX calculation;
2), Calculate volatility for both near-term and next-term options;
3), Calculate the 30-day weighted average of variance, then take the square root of that value and multiply by 100 to get VIX.
Matlab code: http://docs.google.com/Doc?id=ddb2j6dw_12fjk57bfx
Introduced by this paper http://www.cboe.com/micro/vix/vixwhite.pdf, VIX calculation is done step-by step as:
1), Select the options to be used in the VIX calculation;
2), Calculate volatility for both near-term and next-term options;
3), Calculate the 30-day weighted average of variance, then take the square root of that value and multiply by 100 to get VIX.
Matlab code: http://docs.google.com/Doc?id=ddb2j6dw_12fjk57bfx
Mar
22
To search and backup easier, I make a PDF file which includes so far most of entries of the Quantitative finance collector blog. This Quantitative finance codes list is partly what I have collected during my financial engineering learning journey. Most of the entries were written when I was at university, apparently many codes can not be used directly for a certain purpose, we can, certainly, learn the way the coders applied.
Although I try best to check each file before recommendation, downloading and using are at your own risk. Should you are interested and would like to track my latest collection, please visit my blog or follow my twitter at http://www.twitter.com/a_biao.
You can distribute this list as you want, the only wish from me is please ’do not change the sentences’ and leave the original links when you want to post somewhere, thank you.
Downloading the PDF file at: http://www.mathfinance.cn/attachment/QuantitativeFinanceCollector.pdf (right click and save as)
Although I try best to check each file before recommendation, downloading and using are at your own risk. Should you are interested and would like to track my latest collection, please visit my blog or follow my twitter at http://www.twitter.com/a_biao.
You can distribute this list as you want, the only wish from me is please ’do not change the sentences’ and leave the original links when you want to post somewhere, thank you.
Downloading the PDF file at: http://www.mathfinance.cn/attachment/QuantitativeFinanceCollector.pdf (right click and save as)
Mar
20
A nice paper on step-by-step option pricing with excel, VBA codes are included in the paper as well.
The authors first briefly review the principles of pricing by no arbitrage in a binomial tree, and show how this can be implemented in Excel; then move to continuous-time model - Black scholes pricing model; after a short discussion on the parameter estimation issues, they turn to two numerical methods for pricing, which are Monte Carlo simulation and Finite difference for Partial differential equation (PDE); at last, option hedging is introduced, advantages and disadvantages of spreadsheets in general and Excel in particular are analyzed shortly.
Download paper "Option pricing with the Excel" at http://www.math.ku.dk/~rolf/REV.excelpaper.pdf
The authors first briefly review the principles of pricing by no arbitrage in a binomial tree, and show how this can be implemented in Excel; then move to continuous-time model - Black scholes pricing model; after a short discussion on the parameter estimation issues, they turn to two numerical methods for pricing, which are Monte Carlo simulation and Finite difference for Partial differential equation (PDE); at last, option hedging is introduced, advantages and disadvantages of spreadsheets in general and Excel in particular are analyzed shortly.
Download paper "Option pricing with the Excel" at http://www.math.ku.dk/~rolf/REV.excelpaper.pdf
