Directory of Quantitative Finance Code and other resources for Quantitative Finance

C++ with experience in Options Electronic Market Making or Options Algorithmic Execution $300k+ \ Hedge Fund \ NYC \ $300k+NEW

Gauss Files
Rank Title Category Hits Rating Vote
1 GMM Estimates of Currency Substitution Gauss 234 0.00 0

.NET Files
Rank Title Category Hits Rating Vote
1 American Option Pricing in Variance Gamma using Finite Difference .NET 686 0.00 0
2 Option Pricing using the Binomial Tree Model in C# .NET 461 0.00 0

Mathematica Files
Rank Title Category Hits Rating Vote
1 Binomial tree for Ho Lee interest rate model Mathematica 800 0.00 0
2 Credit derivatives pricing in HJM term structure Mathematica 563 0.00 0
3 Heston Call price in Mathematica Mathematica 506 0.00 0
4 Ito's Lemma Package Mathematica 338 9.00 1
5 Pricing Asian Options by Contour Integration Mathematica 296 0.00 0

Excel Files
Rank Title Category Hits Rating Vote
1 Hull White Model Calibration Excel 4739 4.00 1
2 Implied Volatility Surface Excel 3437 7.00 2
3 Bootstrapping yield curve Excel 2843 0.00 0
4 Constant Maturity Swap Pricing with Convexity adjustment Excel 2821 0.00 0
5 GARCH code in Excel Excel 2819 9.00 1
6 Gaussian, Student ,Clayton, Frank and Gumbel copulas Excel 2157 9.00 2
7 Principal Component Analysis PCA Excel 2155 10.00 1
8 Finance VBA code at vbnumericalmethods Excel 1729 0.00 0
9 Evolution of Libor Market Model in Excel Excel 1652 0.00 0
10 Bermudan Swaption Pricing on Trinomial Tree Excel 1652 0.00 0
11 Portfolio Optimization using Markowitz method Excel 1571 0.00 0
12 Black-Derman-Toy Model for Interest Rate Based Options Excel 1284 0.00 0
13 2 factor Trinomial tree for default intensity Excel 1254 0.00 0
14 Heston Call Option Price using Monte Carlo Excel 1205 7.00 3
15 Spreadhseet for vasicek simulation Excel 1114 0.00 0
16 American Option Pricing using Random Tree Excel 1103 10.00 1
17 Black Litterman Implied Returns Excel 1084 0.00 0
18 Thomas Lee Financial Library Excel 1079 8.00 2
19 Implementation of Hull-White's No-Arbitrage Term Structure Model Excel 974 0.00 0
20 Quanto Option Pricing Excel 967 0.00 0
21 Levenberg-Marquardt algorithm Excel 908 0.00 0
22 Quasi Monte Carlo in Excel Excel 891 0.00 0
23 Tutorial on Yield curve and analysis Excel 886 0.00 0
24 Black Karasinki Model Excel 858 0.00 0
25 Find Matrix Inverse Excel 851 0.00 0
26 Volatilty swap pricing in Heston Model Excel 840 0.00 0
27 European Swaption Pricing in HullWhite using Trinomial Tree Excel 819 0.00 0
28 Tutorial on passing Arrays in Excel & VB script Excel 811 0.00 0
29 Bond duration Excel 807 0.00 0
30 C++ Excel integration Helper Excel 805 0.00 0
31 Spreadheets for Math Finance book Excel 786 0.00 0
32 Yield Curve Paremeterization using NS Excel 773 7.00 2
33 Caplet Pricing in single factor Libor market model Excel 737 0.00 0
34 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 720 9.00 3
35 Singular Value Decomposition of a matrix Excel 717 0.00 0
36 VBA code for 2 factor CIR Excel 715 0.00 0
37 Non-recombining tree for HJM Excel 667 0.00 0
38 CreditCurve_Bootstrapping from CDS spreads Excel 657 9.00 2
39 Matrix Sorting in VBA Excel 636 7.00 1
40 Option Adjusted Spread Excel 631 0.00 0
41 Math VBA code at vbnumericalmethods Excel 600 0.00 0
42 Monte carlo Integration for Option pricing Excel 597 0.00 0
43 European Option price in VG model using Finite difference Excel 580 0.00 0
44 Explicit finite difference Excel 556 0.00 0
45 Leisen & Reimer Binomial Tree Excel 552 8.00 2
46 Efficient Frontiers via the Mean Variance Optimization Method Excel 544 0.00 0
47 Exponential integral function in VBA Excel 534 0.00 0
48 European option price using Finite Element Method Excel 512 0.00 0
49 Linear Interpolation Excel 506 0.00 0
50 Bootstrap Forward rate vols from Caplet Volatilities Excel 499 0.00 0
51 Leisen-Reimer tree,Heston and other Apps Excel 493 0.00 0
52 Implicit finite difference method Excel 475 0.00 0
53 Real Option spreadhseets by Aswath Damodaran Excel 474 0.00 0
54 Pricing of callable bond on Lattice Excel 463 0.00 0
55 Caplet pricing using Black's formula Excel 452 0.00 0
56 Heston Option prices using Monte carlo simulation Excel 425 0.00 0
57 Random Variables with Box Muller Excel 382 0.00 0
58 Augmented Dickey Fuller Test in VBA Excel 350 0.00 0
59 Portfolio optimization with Binomial model Excel 341 0.00 0
60 Nelder Mead Simplex method tutorial Excel 332 10.00 1
61 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 306 0.00 0
62 American Option pricing by Longstaff and schwartz Least Squares without MS Addin Excel 292 0.00 0
63 Implied Binomial Trees in Excel without VBA Excel 275 0.00 0
64 Excel C++ Event Management demo Excel 272 1.00 1
65 Solve Tridiagonal system of equations Excel 238 0.00 0
66 Brent method for root finding Excel 237 0.00 0
67 Matrix display utility functions Excel 232 0.00 0
68 Foward measure vs Spot measure vs Black formula for pricing in Libor market model Excel 232 0.00 0
69 Excel Spreadhseet for Bond Option Price in Vasicek Model Excel 229 0.00 0
70 Cointegration analysis using Johansen procedure Excel 227 0.00 0
71 American Option price using "Regress Later" by Glasserman and Yu Excel 217 0.00 0
72 Swaption Pricing in Vasicek Model using Simulation Excel 195 0.00 0
73 Excel spreadhseet for Bond Option Price in CoxIngersoll Ross CIR Excel 188 0.00 0
74 Partial Derivatives Jacobian Matrix Excel 185 0.00 0
75 Swaption valuation using Jamshidian Trick Excel 183 0.00 0
76 Fair Swap Rate in Vasicek Model Excel 182 0.00 0
77 Unit root testing demo using Augmented Dickey fuller test Excel 172 0.00 0
78 Getting Variance,Mean,Min,Max in VBA Excel 167 0.00 0
79 Function Mimimization using Nelder Mead Simplex Excel 166 0.00 0
80 Bond Option Pricing Using T-Forward Measure Excel 164 0.00 0
81 Bilinear interpolation function in VBA Excel 162 0.00 0
82 Empirical distribution PDF and CDF with Epanechnikov kernel smoothing Excel 156 0.00 0
83 Vasicek Dynamics in Excel Excel 155 0.00 0
84 Regress now or later : Longstaff Schwartz vs. Glasserman Yu comparision Excel 139 0.00 0
85 MINPACK's Levenberg Marquardt optimizer in VBA Excel 135 0.00 0
86 Exdeedance Correlation Excel 131 0.00 0
87 OLS - Ordinary Least Squares without Microsoft Addins Excel 130 0.00 0
88 Swap Fair rate using Basis Point Sensitivity Excel 121 0.00 0
89 Demo for understanding the intuiton of Dickey fuller Critical Values Excel 120 0.00 0
90 Interest Rate Derivative Bond Option Valuation by Joint Simulation Excel 119 6.00 1
91 Optimal Exercise Frontier for Longstaff & Schwartz Excel 117 0.00 0
92 Vasicek Bond Option pricing using Euler discretization Excel 116 0.00 0
93 Standard error for coefficients in OLS Least Sqaures Regression in VBA Excel 112 0.00 0
94 Vasicek Bond Option pricing using Exact discretization Excel 107 0.00 0
95 Eigen value decomposition with sorting Excel 99 0.00 0
96 Parameters calibration demo for Levenberg Marquardt algorithm Excel 97 0.00 0
97 Optimal Exercise Policy Analysis for Longstaff & Schwartz Excel 94 0.00 0
98 Vasicek Bond Option pricing using Forward Measure Excel 76 0.00 0
99 Bond Option pricing in Hull White using Monte Carlo simulaltion Excel 76 0.00 0
100 Matrix division in VBA Excel 48 0.00 0

C++ Files
Rank Title Category Hits Rating Vote
1 C++ Financial Algoritms (Financial Numerical Recipes) C++ 3983 8.00 1
2 Swaption pricing in Libor Market Model(LMM) C++ 1828 0.00 0
3 CDO Pricing in Gaussian Copula C++ 1123 0.00 0
4 Levenberg-Marquardt nonlinear least squares algorithms in C/C++ C++ 980 0.00 0
5 Heston Monte Carlo C++ 836 0.00 0
6 CDO pricing without Monte carlo simulation C++ 824 8.00 1
7 CDO Square Loss distribution using Gaussian Copula C++ 789 0.00 0
8 Trinomial Tree implementation of Hull-White model C++ 754 0.00 0
9 Garch Fitting by Maximum Likelihood Estimation (MLE) C++ 745 0.00 0
10 Time Series Code Library C++ 578 0.00 0
11 American Option Pricing in VG model using Finite Difference C++ 533 0.00 0
12 American Call spread using Andersen's method C++ 532 0.00 0
13 Trinomial Tree Class C++ 468 0.00 0
14 NewMat C++ Matrix Library C++ 450 8.00 1
15 Calibration of transition probability matrix using levmar C++ 449 0.00 0
16 Quantlib C++ 429 9.00 2
17 nth to Defaults CDS without Monte Carlo Simulation C++ 424 0.00 0
18 Call Option Price using FFTW C++ 408 0.00 0
19 Fast greeks by simulation in forward LIBOR models C++ 406 0.00 0
20 CDO Pricing by probability bucketing C++ 397 0.00 0
21 Code for basket option, call option using Heston model C++ 387 0.00 0
22 CDO tranche spreads using GSL C++ 372 0.00 0
23 LMM in GSL with Predictor-Corrector C++ 354 0.00 0
24 Meta Options library C++ 348 8.00 1
25 Basket default Swap Pricing C++ 332 0.00 0
26 Andersen's method using GSL C++ 302 0.00 0
27 GNU Scientific Library C++ 263 8.00 1
28 Asian Option Price using German Yor's approach C++ 249 0.00 0
29 Heston pricing using finite difference method C++ 247 0.00 0
30 Hodrick Prescott Filter C++ 226 7.00 2
31 Portfolio Performance Analyzer C++ 175 0.00 0
32 Terreneuve-devel Project C++ 173 0.00 0
33 Schematic sample code of a three-dimensional operator split method for Heston Model C++ 167 0.00 0
34 Hypergeomtric and Gamma Functions for all complex inputs C++ 149 0.00 0
35 Cluster Analysis C++ 148 0.00 0
36 Bilinear interpolation function for GSL C++ 81 0.00 0
37 Levenberg-Marquardt for Visual C++ 2005 C++ 53 0.00 0
38 Tutorial for using MINPACK's C version of Levenberg Marquardt optimizer C++ 50 0.00 0

Matlab Files
Rank Title Category Hits Rating Vote
1 Libor Market Model Matlab 2956 0.00 0
2 Matlab code for Risk management, implied volatility surface & Extreme Value Theory Matlab 2890 1.00 1
3 Black Litterman model in Matlab Matlab 2113 0.00 0
4 Heston Model Matlab 1896 0.00 0
5 LSM Monte Carlo for American Options Pricing Matlab 1867 9.00 2
6 SABR Volatility surface Matlab 1670 10.00 2
7 CDO Pricing Using Gaussian Copulas in Matlab Matlab 1505 0.00 0
8 CDO Tranche Pricing using T copula Matlab 1498 0.00 0
9 Variance Swap Pricing Matlab 1435 0.00 0
10 Credit Default Swap Pricing Matlab 1256 0.00 0
11 Basket CDS pricing using Copula Matlab 1141 1.00 1
12 Solving Nonlinear Equations with Newton's Method Matlab 1136 0.00 0
13 Black Scholes Price & Greeks Matlab 1056 1.00 1
14 Barrier Options Pricing Matlab 1022 0.00 0
15 Bond pricing in CIR and Vasicek models using Riccati solution Matlab 1019 0.00 0
16 Maximum Likelihood estimation using Kalman filter Matlab 973 0.00 0
17 BDT and Ho Lee using Binomial Tree Matlab 967 10.00 1
18 Finite Difference Methods for American Option Matlab 901 0.00 0
19 FFT Option price using Characteristic function Matlab 899 4.00 1
20 Lecture note and matlab code for GMM & Kalman filter Matlab 827 9.00 1
21 Barrier Option pricing using Finite Difference Matlab 823 0.00 0
22 BDT model Matlab 810 0.00 0
23 Copulas in Matlab Matlab 806 0.00 0
24 Implicit Finite Difference Method Matlab 805 0.00 0
25 American Option Price using Explicit Euler Finite Difference Method Matlab 796 0.00 0
26 Beta estimation using Kalman Filter Matlab 778 0.00 0
27 Implicit vs Crank Nicholson vs Explicit Finite difference methods Matlab 778 0.00 0
28 Brownian Bridge Matlab 770 0.00 0
29 MLE estimation for multivariate normal distribution Matlab 759 0.00 0
30 Financial modelling and analysis Matlab 748 0.00 0
31 Efficient frontier for portfolio Matlab 740 0.00 0
32 Longstaff-Schwartz Algorithm Matlab 740 8.00 1
33 Empirical distribution Pdf and Cdf curves Matlab 739 0.00 0
34 Pricing nth to Defaults CDS with Monte Carlo Simulation Matlab 724 0.00 0
35 Linking Caplet Volatilties in BGM Matlab 707 0.00 0
36 Efiicient frontier plot for Markowitz portfolio Matlab 705 0.00 0
37 LFM approximation Matlab 704 0.00 0
38 Global Derivatives Matlab Code Matlab 693 0.00 0
39 American Spread Option Price using LSM Matlab 688 0.00 0
40 Vanilla Option pricing in Variance Gamma model using Monte Carlo simulation (II) Matlab 672 0.00 0
41 Pricing of nth to Defaults CDS without Monte Carlo Simulation - Mthod II Matlab 661 0.00 0
42 Characteristic Function and Regime Switching Models Matlab 650 0.00 0
43 Call Options price in VG model using Analytical Formulas Matlab 618 0.00 0
44 Aggregation of Correlation risk Matlab 602 0.00 0
45 Tutorial on Maximum Likelihood estimation Matlab 576 0.00 0
46 Heston Nandi Garch simulation Matlab 554 0.00 0
47 Estimating parameters of the Normal-Inverse Gaussian Matlab 538 0.00 0
48 Bond Option price for two-factor Vasicek (G2++) modell Matlab 537 0.00 0
49 Convertible bond on Tsiveriotis Fernandes Binomial Tree Matlab 534 0.00 0
50 Bond Option Price in Hull White Model Matlab 531 0.00 0
51 Plain Vanilla European Call Price using Monte Carlo Simulation Matlab 530 0.00 0
52 Review and synthesis of bond pricing models, including CIR, HJM, many others Matlab 530 0.00 0
53 Bjerksund Stensland Approximation for American Option Matlab 522 0.00 0
54 Discrete Barrier Options Pricing implementation Matlab 517 0.00 0
55 Asian Option Price using MC Matlab 512 0.00 0
56 American Option in VG model using LSM Matlab 510 0.00 0
57 CRR Binomial tree Matlab 498 0.00 0
58 Matlab program files for Stochastic Differential Equations Matlab 493 0.00 0
59 Solve the PIDE arising from a jump diffusion model Matlab 476 0.00 0
60 Kalman filter demo Matlab 470 0.00 0
61 Moving Grid Method in Finite Difference method Matlab 468 0.00 0
62 Vasicek model estimation using Kalman filter Matlab 458 0.00 0
63 Simulation of SDEs Matlab 453 7.00 1
64 nth to Defaults CDS without Monte Carlo Simulation - Method I Matlab 453 0.00 0
65 GMM estimation of fixed income models Matlab 451 0.00 0
66 Local vs. Dupire in Excel and Matlab Matlab 440 0.00 0
67 Bayesian book programs Matlab 439 0.00 0
68 Inflation Indexed Convertible Bond Pricing using Binomial Tree Matlab 438 9.00 1
69 Jackknifing Bond Option Prices and two factor CIR Matlab 435 0.00 0
70 Computer Simulations and Risk Assessment Matlab 420 0.00 0
71 VG Option pricing in MC Matlab 419 0.00 0
72 Asian Option Price using PDE Matlab 419 0.00 0
73 FFT Option Price Using Binomial tree Matlab 413 0.00 0
74 Spread Option using Three Dimensional Binomial Tree Matlab 411 0.00 0
75 VG option price using FFT Matlab 403 0.00 0
76 Alternating Direction Implicit (ADI) Matlab 395 0.00 0
77 Nearest Correlation matrix using Hypersphere Decomposition Matlab 389 0.00 0
78 CIR and FD programs Matlab 372 0.00 0
79 Static Replication Methods for Vanilla Barrier Options Matlab 372 0.00 0
80 Jamshidian Decompostion for Swaptions Matlab 369 0.00 0
81 LMM with refined variance scheme Matlab 368 0.00 0
82 Tutorial on Generalized Method of Moments (GMM) Matlab 367 0.00 0
83 Trading using SVM Matlab 364 0.00 0
84 Asian Option with Gamma bridge Matlab 363 0.00 0
85 Homework Problem for Swaption Pricing Code Matlab 363 0.00 0
86 Classical Pairs Trading Matlab 358 0.00 0
87 Derman Kani Implied Binomial Tree Matlab 357 0.00 0
88 Option pricing in Variance Gamms model by Fourier Integration Matlab 355 0.00 0
89 Asian American Option Matlab 355 0.00 0
90 Binomial Tree in Matlab Matlab 347 0.00 0
91 Option pricing with Edgeworth density based Monte carlo simulations Matlab 335 0.00 0
92 Random numbers generation from 50+ distributions Matlab 335 0.00 0
93 Credit Ratings Migration Matlab 335 0.00 0
94 HW Problems and Code Solution for BDT calibration Matlab 333 0.00 0
95 Barrier Option Pricing using Static Replication Matlab 321 0.00 0
96 Plot Forward Rate Dynamics Hull White Model Matlab 289 0.00 0
97 Strike Adjusted Spread Matlab 287 0.00 0
98 Lewis regularization method for VG Options Matlab 276 0.00 0
99 Characteristic function of bivariate GBM Matlab 274 0.00 0
100 Option Quote using Static Hedging Matlab 256 0.00 0

Java Files
Rank Title Category Hits Rating Vote
1 Black-Litterman model Java 751 0.00 0
2 Monte Carlo Pricers in Java Java 640 0.00 0
3 Vasicek Model in Java Java 421 0.00 0
4 Project Martingale Java 340 0.00 0
5 Pricing American option by Hopscotch and other FD methods Java 221 0.00 0

Quantlib Files
Rank Title Category Hits Rating Vote
1 Swaption pricing in Hull White Model using Trinomial Tree Quantlib 942 0.00 0
2 European Swaption Pricing in HullWhite using Jamshidian Engine Quantlib 439 0.00 0
3 Call price in Heston model with MC Quantlib 363 0.00 0
4 Analytical Heston Price in Excel with Quantlib server Quantlib 238 2.00 1
5 Bermudan swaption pricing in Hull White model Quantlib 223 0.00 0
6 Bond Option pricing in Hull White Model Quantlib 150 0.00 0
7 Bond Option Pricing in Vasicek Model Quantlib 141 0.00 0
8 Pricing an inarrear swap - Quantlib code snippet Quantlib 105 0.00 0
9 Forward bond price in Hull White Model Quantlib 100 0.00 0
10 Use Quantlib to get Fair Swap Rate in Vasicek Model Quantlib 91 0.00 0
11 Forward rate dynamics demo for Short rate Models Quantlib 39 0.00 0
12 Showing graphs in Quantlib Quantlib 32 0.00 0

R Files
Rank Title Category Hits Rating Vote
1 Scripts for Modeling Financial Time Series with S-PLUS R 392 0.00 0
2 Binomial trees with R R 340 0.00 0
3 CRAN Task View: Empirical Finance R 276 0.00 0
4 RQuantLib: R interface to the QuantLib library R 232 0.00 0

SPlus Files
Rank Title Category Hits Rating Vote
1 Allan Variance SPlus 125 0.00 0

SAS Files
Rank Title Category Hits Rating Vote
1 Gibbs Estimation of Microstructure Models SAS 115 0.00 0

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Head of CDO Analytics - London consulting firm
Devon Capital is an established independent CDO consulting firm, advising major global investors in CDO restructuring, risk management and processes. Role is for an experienced quant developer to build and lead analytics team. This is major opportunity to join probably the fastest growing area in credit derivatives. Successful candidates will be considered for partnership. PhD in quant subject from leading institution, 5yr+ direct coding experience in C++, VBA, standard math libraries etc. CDO of ABS, CDO^2, cash flow and hybrids view listing;
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