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Quantitative Finance Collector is a blog on Quantitative finance analysis, financial engineering methods in mathematical finance focusing on derivative pricing, quantitative trading and quantitative risk management. Random thoughts on financial markets and personal staff are posted at the sub personal blog.


Title Added by Added on
[Code » Net] Fourier Space Time-stepping (FST) option calculator abiao 2008/10/27
[Code » R/Splus] Rmetrics - Basics of Option Valuation abiao 2008/10/22
[Code » Matlab] Crank-Nicholson finite difference solution of American option abiao 2008/10/06
[Code » Matlab] Up-and-out call option by Monte Carlo abiao 2008/10/03
[Code » Mathematica] Unified Asian Option Pricing abiao 2008/09/28
[Code » Matlab] FFT computation of option prices abiao 2008/09/26
[Code » Matlab] Option greeks analysis abiao 2008/09/23
[Code » VBA/Excel] Real option case study abiao 2008/09/22
[Code » C++] Spread option valuation abiao 2008/09/17
[Code » C++] Cliquet option with Jump-Diffusion Bates Model abiao 2008/09/16
[Code » Matlab] Monte Carlo arithmetic average price Asian option abiao 2008/09/14
[Code » VBA/Excel] Constant Maturity Swap (CMS) option pricing abiao 2008/09/13
[Code » VBA/Excel] Normal Inverse Gaussian option pricer abiao 2008/09/12
[Code » Matlab] Pricing American Options abiao 2008/09/09
[Code » Matlab] European Exchage Options abiao 2008/08/30
[Code » C++] PSOR for American option abiao 2008/08/24
[Code » Matlab] Floating Strike Lookback Option abiao 2008/08/22
[Code » Other] Perl Option Pricing Project abiao 2008/08/16
[Code » VBA/Excel] Real Option Models in Valuation abiao 2008/08/10
[Code » Net] Barrier Option Calculator abiao 2008/08/04
[Code » VBA/Excel] Monte Carlo Chooser Option abiao 2008/08/03
[Code » VBA/Excel] Entire Equity and Monetary Option Formulas abiao 2008/07/31
[Code » R/Splus] download option price data from Yahoo abiao 2008/07/29
[Code » Java] Monte Carlo Pricer of Barrier, Knock in and out Options with Jump-Diffusion abiao 2008/07/28
[Code » VBA/Excel] Outperformance Options Price abiao 2008/07/27
[Code » VBA/Excel] Rainbow Option Price abiao 2008/07/27
[Code » Matlab] American Options via Monte Carlo Simulations abiao 2008/07/27
[Code » Matlab] Asian Option Pricing abiao 2008/07/27
[Code » Net] Online Option Calculator abiao 2008/07/26
[Code » Matlab] Monte Carlo Simulation Spread Options abiao 2008/07/26
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