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. Please help us spread the word:
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| Title | Added by | Added on |
| [Paper Review] Worst-Case Value at Risk of Nonlinear Portfolios | abiao | 2013/01/21 |
| [Paper Review] A Fully Integrated Liquidity and Market Risk Model | abiao | 2012/10/29 |
| [Paper Review] New Illiquidity Measure Week in Review | abiao | 2012/05/21 |
| [Review] 2011 Risk Manager of the Year Week in Review 010312 | abiao | 2012/03/01 |
| [Paper Review] Week in Review 060112 Trading Strategy | abiao | 2012/01/06 |
| [Code » Other] Value at Risk Estimation with Copula | abiao | 2010/04/09 |
| [Code » Other] VaR Historical Simulation | abiao | 2010/03/05 |
| [Code » Other] VaR Backtesting | abiao | 2010/02/25 |
| [Code » VBA/Excel] Value at Risk xls | abiao | 2010/02/19 |
| [Code » Matlab] Vector autoregression (VAR) | abiao | 2009/06/12 |
| [Code » Matlab] VaR and Expected shortfall under Generalized Student t | abiao | 2008/11/06 |
