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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
[Paper Review] CDS Inferred Stock Volatility abiao 2015/11/13
[Paper Review] A Constant-Volatility Framework for Managing Tail Risk abiao 2013/01/31
[Paper Review] A Stochastic Volatility Model with Random Level Shifts and its Applications to S&P 500 and NASDAQ Return Indices abiao 2012/10/11
[Paper Review] Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis abiao 2012/09/29
[Paper Review] Non-stationary non-parametric volatility model abiao 2012/07/31
[Paper Review] Recovering Index Implied Volatility Skew Week in Review abiao 2012/06/12
[Paper Review] Forecast Expected Return Week in Review abiao 2012/05/10
[Review] Risk Management Week in Review 020512 abiao 2012/05/02
[Review] 2011 Risk Manager of the Year Week in Review 010312 abiao 2012/03/01
[Review] Option Strategies Week in Review 160212 abiao 2012/02/17
[Paper Review] Stochastic Volatility Models and the Pricing of VIX Options abiao 2012/02/14
[Paper Review] Fitting and Testing for the Implied Volatility Curve Using Parametric Models abiao 2011/09/19
[Others] Credit Default Spread and Historical Volatility abiao 2011/06/22
[Paper Review] A Comparative Study of Range-based Stock Return Volatility Estimators for the German Market abiao 2011/06/17
[Code » VBA/Excel] Excel for Volatility Calculation abiao 2011/04/03
[Paper Review] Realized Variance Estimation abiao 2010/12/30
[Paper Review] Long Term Volatility Forecast abiao 2010/11/03
[Code » C++] Fast and Accurate Long Stepping Simulation of the Heston Stochastic Volatility Model abiao 2010/10/20
[Code » VBA/Excel] Option Pricing Models and Volatility Using Excel-VBA abiao 2010/08/27
[Code » Matlab] Vanna Volga Method abiao 2010/01/05
[Code » Matlab] Ad hoc Black Scholes model for Option Pricing abiao 2009/12/09
[Code » Matlab] Garch option pricing abiao 2009/11/15
[Code » VBA/Excel] Volatility Forecasting and Trading abiao 2009/04/27
[Code » Matlab] VIX calculation abiao 2009/03/24
[Code » Other] Modelling the implied volatility surface abiao 2009/02/26
[Code » Matlab] Historical Volatility Estimation abiao 2009/02/20
[Code » VBA/Excel] SABR stochastic volatility model abiao 2008/08/18
[Code » Matlab] Calibration of a binomial tree to the volatility surface abiao 2008/07/30
[Code » Matlab] calibration of the Heston SV model abiao 2008/07/29
[Code » VBA/Excel] EWMA Volatility abiao 2008/07/28
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