Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Oct 18


Posted by abiao at 14:14 | Code » Matlab | Comments(0) | Reads(7328)
Quantitativefinance.co.uk is a personal site developed with the aim of sharing some basic knowledge on risk management principles. At the moment it has only a few documents & files, including:

Using OLS regression to estimate alfa and beta of CAMP: Those routines estimats alfa, beta, R2 coefficient, Jarque-Bera statistic, Durbin-Watson statistic and more.
CIR and Vasicek 1 FACTOR model for estimating the term structure   This routine calculate the term structure parameters according to the CIR and Vasicek models. You can't parametrize the data source for estimating the model's parametrs but you can easly do that by changing the source code.
CIR and Vasicek 2 FACTORS models for estimating the term structure   The routine is the same of the previous one but use a 2 FACTORS model.  
Pricing an europen option   This is a very simple routine that calculate the value of an european option using both monte carlo simulation and BS metohd.
Calculating market value at risk   This is a complex routine that allows to calculate the market value at risk using different approaches: asset normal, port normal, beta normal.  
The creditmetrics© model   This spreadsheet calculates a credit VaR using credit spreads of traded corporate bonds (Credit Metrics). The term structure is estimated using a CIR approach.

Visit Quantitativefinance.co.uk for detail.

Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]