Publications by Quantitative Finance Collector
Quantile Regression
Quantile regression is a statistical technique intended to estimate, and conduct inference about, conditional quantile functions. Just as classical linear regression methods based on minimizing sums of squared residuals enable one to estimate models for conditional mean functions, quantile regression methods offer a mechanism for estimating model...
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download option price data from Yahoo
This R program can be used to download option price data from Yahoo to a data frame and to plot the corresponding implied-volatility smiles. http://www.math.tu-berlin.de/~mkeller/index.php?target=rcodeTags – download , data , optionRead the full post at download option price data from Yahoo. Related To leave a comment for the author, please f...
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R-code for Vasicek estimation
A short-rate model is usually calibrated to some initial structures in the market, typically the initial yield curve, the caps volatility surface, the swaptions volatility surface, and possibly other products, thus determining the model parameters. Vasicek, Cox Ingersoll Ross (CIR), Dothan, for instance, are among the frequently-used short-rate m...
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Process Simulation in R
Simple demonstration codes for process simulation in R, including Brownian motion simulation, Poisson process simulatio, Euler scheme simulation for Geometric Brownian motion, the mean-reverting process, and the process with two ‘attractors’, etc.http://www.math.ku.dk/~rolf/teaching/mfe04/MiscInfo.html#CodeTags – simulationRead the full pos...
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Visualize Copulas
In those Copula codes you can get a rough idea what copula is, how to estimate and simulate it, how to test its performance, etc., to help you visualize what on earth the copula should look like, below R code draws plots of some widely used copulas.http://www.math.tu-berlin.de/~mkeller/index.php?target=rcodeTags – copulaRead the full post at Vi...
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evolutionary algorithm optimization
In the post Optimization packages dozens of optimization routines can be downloaded, here I am going to share a special optimization method: evolutionary algorithm. Evolutionary algorithms (EAs) are search methods that take their inspiration from natural selection and survival of the fittest in the biological world. EAs differ from more tradition...
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Econometric tools for performance and risk analysis
QuotationLibrary of econometric functions for performance and risk analysis of financial portfolios. This library aims to aid practitioners and researchers in using the latest research in analysis of both normal and non-normal return streams.We created this library to include functionality that has been appearing in the academic literature on per...
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Rmetrics – Basics of Option Valuation
Open Source Software for Financial Engineering and Computational FinanceRmetrics is the premier open source solution for teaching financial market analysis and valuation of financial instruments. With hundreds of functions build on modern methods Rmetrics combines explorative data analysis, statistical modeling and rapid model prototyping. The Rm...
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Quantitative Risk Management R package
I shared an Econometric tools for performance and risk analysis package in R, today I introduce another Quantitative Risk Management R package, which is accompanying the book Quantitative Risk Management: Concepts, Techniques and Tools by Alexander J. McNeil, Rudiger Frey and Paul Embrechts, a nice book written by one of my professors. In this bo...
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Modeling Financial Time Series with S-PLUS
Although S-plus is the most terrible language I have ever used in terms of debugging (I have to say that, no offense to S-plus fans, as my colleagues said, it is hard to understand it is still existed in 21 centuary), I found the S-plus scripts accompanying the book Modeling Financial Time Series with S-PLUS, covering:Time Series Manipulation,...
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