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Gauss Files
Rank Title Category Hits Rating Vote
1 GMM Estimates of Currency Substitution Gauss 451 0.00 0

.NET Files
Rank Title Category Hits Rating Vote
1 Option Pricing using the Binomial Tree Model in C# .NET 1327 0.00 0
2 American Option Pricing in Variance Gamma using Finite Difference .NET 1164 0.00 0
3 Fairmat Modeling platform for derivatives pricing .NET 63 0.00 0

Mathematica Files
Rank Title Category Hits Rating Vote
1 Binomial tree for Ho Lee interest rate model Mathematica 1654 0.00 0
2 Credit derivatives pricing in HJM term structure Mathematica 1035 0.00 0
3 Heston Call price in Mathematica Mathematica 940 0.00 0
4 Ito's Lemma Package Mathematica 733 9.00 1
5 Pricing Asian Options by Contour Integration Mathematica 483 0.00 0

Excel Files
Rank Title Category Hits Rating Vote
1 GARCH code in Excel Excel 7754 8.00 2
2 Implied Volatility Surface Excel 6835 7.00 2
3 Principal Component Analysis PCA Excel 6338 9.00 5
4 Constant Maturity Swap Pricing with Convexity adjustment Excel 4631 0.00 0
5 Gaussian, Student ,Clayton, Frank and Gumbel copulas Excel 4049 9.00 2
6 Finance VBA code at vbnumericalmethods Excel 3562 0.00 0
7 Evolution of Libor Market Model in Excel Excel 3492 0.00 0
8 Heston Call Option Price using Monte Carlo Excel 3386 7.00 3
9 Cointegration analysis using Johansen procedure Excel 3321 0.00 0
10 Augmented Dickey Fuller Test in VBA Excel 3228 10.00 1
11 Bermudan Swaption Pricing on Trinomial Tree Excel 3223 0.00 0
12 Spreadhseet for vasicek simulation Excel 2803 0.00 0
13 Black Litterman Implied Returns Excel 2694 0.00 0
14 Black-Derman-Toy Model for Interest Rate Based Options Excel 2689 0.00 0
15 Linear Interpolation Excel 2513 0.00 0
16 CreditCurve_Bootstrapping from CDS spreads Excel 2499 9.00 4
17 Efficient Frontiers via the Mean Variance Optimization Method Excel 2453 0.00 0
18 2 factor Trinomial tree for default intensity Excel 2395 0.00 0
19 Bootstrapping Yield Curve Excel 2294 10.00 1
20 Quanto Option Pricing Excel 2190 0.00 0
21 Dynamic Asset Allocation Strategies (for Prop Trading and Hedge Funds) Excel 2186 10.00 3
22 Find Matrix Inverse Excel 2148 0.00 0
23 Thomas Lee Financial Library Excel 2065 8.00 2
24 Portfolio Optimization using Markowitz Model Excel 2065 0.00 0
25 Implementation of Hull-White's No-Arbitrage Term Structure Model Excel 2042 0.00 0
26 Tutorial on Yield curve and analysis Excel 2032 0.00 0
27 American Option Pricing using Random Tree Excel 1958 10.00 1
28 Bond duration Excel 1912 0.00 0
29 SVD Singular Value Decomposition of a matrix in Excel Excel 1833 0.00 0
30 Quasi Monte Carlo in Excel Excel 1779 0.00 0
31 Yield Curve Paremeterization using NS Excel 1722 7.00 2
32 Nelder Mead Simplex method tutorial Excel 1704 10.00 1
33 Cholesky Decomposition of a Matrix Excel 1693 0.00 0
34 Asian Option price using Monte carlo simulation Excel 1619 5.00 2
35 Volatilty swap pricing in Heston Model Excel 1609 0.00 0
36 VBA code for 2 factor CIR Excel 1592 0.00 0
37 Spreadheets for Math Finance book Excel 1589 0.00 0
38 Caplet Pricing by Monte Carlo simulation in Libor market model Excel 1585 0.00 0
39 Bond Option pricing in Hull White using Monte Carlo simulaltion Excel 1569 0.00 0
40 European Swaption Pricing in HullWhite using Trinomial Tree Excel 1537 0.00 0
41 Leisen & Reimer Binomial Tree Excel 1521 8.00 2
42 C++ Excel integration Helper Excel 1479 0.00 0
43 Unit root testing demo using Augmented Dickey fuller test Excel 1477 0.00 0
44 Exponential integral function in VBA Excel 1429 6.00 2
45 Tutorial on passing Arrays in Excel & VB script Excel 1429 0.00 0
46 Implicit finite difference method Excel 1411 10.00 1
47 Excel Add-In (inspired by "Financial Numerical Recipes in C++") Excel 1408 10.00 1
48 DO NOT DOWNLOAD - Caplet Pricing in single factor Libor market model Excel 1363 0.00 0
49 Black Karasinki Model Excel 1349 0.00 0
50 Bootstrap Forward rate vols from Caplet Volatilities Excel 1333 0.00 0
51 Option Adjusted Spread Excel 1322 0.00 0
52 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 1312 9.00 3
53 Non-recombining tree for HJM Excel 1309 0.00 0
54 American Option pricing by Longstaff and schwartz Least Squares without MS Addin Excel 1302 0.00 0
55 Hull White model calibration using Levenberg Marquardt Excel 1296 0.00 0
56 Variance, Mean, Min, Max, Covariance, Correlation in VBA Excel 1292 8.00 1
57 Matrix Sorting in VBA Excel 1247 7.00 1
58 Levenberg Marquardt in Excel Excel 1232 0.00 0
59 Explicit finite difference Excel 1228 0.00 0
60 Real Option spreadhseets by Aswath Damodaran Excel 1227 0.00 0
61 Vector Autoregression (VAR) in Excel Excel 1222 0.00 0
62 Implied Binomial Trees in Excel without VBA Excel 1215 0.00 0
63 Random Variables with Box Muller Excel 1197 0.00 0
64 Pricing of callable bond on Lattice Excel 1187 0.00 0
65 Math VBA code at vbnumericalmethods Excel 1182 0.00 0
66 Heston Option prices using Monte carlo simulation Excel 1179 0.00 0
67 Asian option price using binomial tree Excel 1124 0.00 0
68 European option price using Monte carlo simulation Excel 1075 0.00 0
69 Caplet pricing using Black's formula Excel 1070 0.00 0
70 Monte carlo Integration for Option pricing Excel 1039 0.00 0
71 Function Minimization using Nelder Mead Simplex Excel 985 9.00 2
72 Leisen-Reimer tree,Heston and other Apps Excel 972 0.00 0
73 European Option price in VG model using Finite difference Excel 968 0.00 0
74 Example of using Levenberg Marquardt for Parameters calibration in Excel Excel 955 0.00 0
75 European option price using Finite Element Method Excel 922 0.00 0
76 Bilinear interpolation function in VBA Excel 898 0.00 0
77 Swaption Pricing in Vasicek Model using Simulation Excel 874 0.00 0
78 Constant Maturity Swap Rate with Monte Carlo simulation Excel 864 0.00 0
79 Analytical bond and bond option price for Hull White model Excel 840 0.00 0
80 Excel Spreadhseet for Bond Option Price in Vasicek Model Excel 836 0.00 0
81 Brent method for root finding Excel 832 0.00 0
82 American Option price using "Regress Later" by Glasserman and Yu Excel 770 0.00 0
83 OLS - Ordinary Least Squares without Microsoft Addins Excel 761 0.00 0
84 Swaption valuation using Jamshidian Trick Excel 757 0.00 0
85 Option Price using CRR Rubinstein Binomial tree Excel 756 0.00 0
86 Eigen value decomposition with sorting Excel 746 0.00 0
87 Large Collection of Math and Quant Finance Algorithms Excel 731 10.00 1
88 Portfolio optimization with Binomial model Excel 727 0.00 0
89 Generating multivariate normal random numbers in VBA Excel 705 0.00 0
90 Black 76 Formula in VBA Excel 702 0.00 0
91 Bond Option price in HJM model using Non recombining tree Excel 699 0.00 0
92 Solve Tridiagonal system of equations Excel 663 0.00 0
93 Empirical distribution PDF and CDF with Epanechnikov kernel smoothing Excel 659 0.00 0
94 American option price using Brennan Schwartz Excel 658 0.00 0
95 CMS rate with Hull's convexity and Timing adjustment Excel 657 0.00 0
96 Matrix multiplication in VBA Excel 648 0.00 0
97 Swaption pricing in Hull White using Swap Rate in MC simulation Excel 647 0.00 0
98 Excel spreadhseet for Bond Option Price in CoxIngersoll Ross CIR Excel 645 0.00 0
99 Demo for understanding the intuiton of Dickey fuller Critical Values Excel 605 0.00 0
100 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 587 0.00 0

C++ Files
Rank Title Category Hits Rating Vote
1 C++ Financial Algoritms (Financial Numerical Recipes) C++ 7128 8.00 1
2 Swaption pricing in Libor Market Model(LMM) C++ 3176 0.00 0
3 Levenberg-Marquardt nonlinear least squares algorithms in C/C++ C++ 1901 0.00 0
4 Garch Fitting by Maximum Likelihood Estimation (MLE) C++ 1893 0.00 0
5 Time Series Code Library C++ 1834 0.00 0
6 CDO Pricing in Gaussian Copula C++ 1744 0.00 0
7 Heston Monte Carlo C++ 1429 0.00 0
8 CDO pricing without Monte carlo simulation C++ 1379 8.00 1
9 Trinomial Tree implementation of Hull-White model C++ 1353 0.00 0
10 CDO Square Loss distribution using Gaussian Copula C++ 1263 0.00 0
11 American Option Pricing in VG model using Finite Difference C++ 1148 10.00 1
12 American Call spread using Andersen's method C++ 1062 0.00 0
13 Code for basket option, call option using Heston model C++ 1047 0.00 0
14 Trinomial Tree Class C++ 959 0.00 0
15 NewMat C++ Matrix Library C++ 940 8.00 1
16 Calibration of transition probability matrix using levmar C++ 868 0.00 0
17 Quantlib C++ 834 9.00 2
18 Call Option Price using FFTW C++ 768 0.00 0
19 Asian Option Price using 2D Finite Difference Method C++ 746 0.00 0
20 American option price using Andersen's method C++ 742 0.00 0
21 CDO Pricing by probability bucketing C++ 723 0.00 0
22 nth to Defaults CDS without Monte Carlo Simulation C++ 723 0.00 0
23 Heston pricing using finite difference method C++ 662 0.00 0
24 CDO tranche spreads using GSL C++ 649 0.00 0
25 Cluster Analysis C++ 637 0.00 0
26 Fast greeks by simulation in forward LIBOR models C++ 633 0.00 0
27 GNU Scientific Library C++ 586 8.00 1
28 LMM in GSL with Predictor-Corrector C++ 582 0.00 0
29 Basket default Swap Pricing C++ 568 0.00 0
30 Meta Options library C++ 525 8.00 1
31 Levenberg-Marquardt for Visual C++ 2005 C++ 510 0.00 0
32 Hodrick Prescott Filter C++ 484 7.00 2
33 Schematic sample code of a three-dimensional operator split method for Heston Model C++ 466 0.00 0
34 Asian Option Price using German Yor's approach C++ 435 0.00 0
35 Heston calibration using Adaptive simulated annealing C++ 419 0.00 0
36 Asian option price using Alternating Direction Implicit (ADI) C++ 418 0.00 0
37 Bilinear interpolation function for GSL C++ 388 0.00 0
38 Heston call price using analytical formula C++ 370 0.00 0
39 Terreneuve-devel Project C++ 367 0.00 0
40 Portfolio Performance Analyzer C++ 360 0.00 0
41 Tutorial for using MINPACK's C version of Levenberg Marquardt optimizer C++ 339 0.00 0
42 Hypergeomtric and Gamma Functions for all complex inputs C++ 250 0.00 0
43 Demo for minimizing function with Adaptive Simulated Annealing (ASA) C++ 178 0.00 0
44 Integral of a function in C C++ 164 0.00 0

Matlab Files
Rank Title Category Hits Rating Vote
1 Matlab code for Risk management, implied volatility surface & Extreme Value Theory Matlab 7378 1.00 1
2 Libor Market Model Matlab 4653 0.00 0
3 Lecture note and matlab code for GMM & Kalman filter Matlab 4432 5.00 2
4 Heston Model Matlab 4099 0.00 0
5 Black Litterman model in Matlab Matlab 3951 0.00 0
6 SABR model calibration Matlab 3380 10.00 2
7 Tutorial on Maximum Likelihood estimation Matlab 3338 0.00 0
8 LSM Monte Carlo for American Options Pricing Matlab 3092 9.00 2
9 CDO Pricing Using Gaussian Copulas in Matlab Matlab 2960 0.00 0
10 Black Scholes Price & Greeks Matlab 2750 1.00 1
11 Solving Nonlinear Equations with Newton's Method Matlab 2713 0.00 0
12 Credit Default Swap Pricing Matlab 2435 0.00 0
13 Variance Swap Pricing Matlab 2416 0.00 0
14 Efficient frontier for portfolio Matlab 2283 0.00 0
15 CDO Tranche Pricing using T copula Matlab 2248 0.00 0
16 Longstaff-Schwartz Algorithm Matlab 2145 8.00 1
17 BDT and Ho Lee using Binomial Tree Matlab 2140 10.00 1
18 Barrier Options Pricing Matlab 2029 0.00 0
19 Basket CDS pricing using Copula Matlab 1944 1.00 1
20 Implicit vs Crank Nicholson vs Explicit Finite difference methods Matlab 1914 0.00 0
21 Vasicek model estimation using Kalman filter Matlab 1852 0.00 0
22 FFT Option price using Characteristic function Matlab 1792 3.00 2
23 Hull White Monte Carlo simulation Matlab 1782 0.00 0
24 American Option Price using Explicit Euler Finite Difference Method Matlab 1754 0.00 0
25 Maximum Likelihood estimation using Kalman filter Matlab 1724 0.00 0
26 Asian American Option using Least Square monte carlo Matlab 1693 0.00 0
27 Bond pricing in CIR and Vasicek models using Riccati solution Matlab 1667 0.00 0
28 Copulas in Matlab Matlab 1619 0.00 0
29 Empirical distribution Pdf and Cdf curves Matlab 1590 0.00 0
30 Implicit Finite Difference Method Matlab 1571 6.00 1
31 Efiicient frontier plot for Markowitz portfolio Matlab 1537 0.00 0
32 Brownian Bridge Matlab 1526 0.00 0
33 Tutorial on Generalized Method of Moments (GMM) Matlab 1520 0.00 0
34 Characteristic Function and Regime Switching Models Matlab 1505 0.00 0
35 Finite Difference Methods for American Option Matlab 1499 6.00 1
36 Global Derivatives Matlab Code Matlab 1498 0.00 0
37 Beta estimation using Kalman Filter Matlab 1494 0.00 0
38 Alternating Direction Implicit (ADI) Matlab 1444 0.00 0
39 Financial modelling and analysis Matlab 1441 0.00 0
40 Asian Option Price using Monte Carlo simulation Matlab 1421 0.00 0
41 Estimating parameters of the Normal-Inverse Gaussian Matlab 1363 0.00 0
42 MLE estimation for multivariate normal distribution Matlab 1362 0.00 0
43 BDT model Matlab 1309 0.00 0
44 Vanilla Option pricing in Variance Gamma model using Monte Carlo simulation (II) Matlab 1307 0.00 0
45 Convertible bond on Tsiveriotis Fernandes Binomial Tree Matlab 1276 0.00 0
46 Heston Nandi Garch simulation Matlab 1271 0.00 0
47 Matlab program files for Stochastic Differential Equations Matlab 1269 0.00 0
48 LFM approximation Matlab 1263 0.00 0
49 American Spread Option Price using LSM Matlab 1242 0.00 0
50 Pricing nth to Defaults CDS with Monte Carlo Simulation Matlab 1233 0.00 0
51 Bond Option price for two-factor Vasicek (G2++) modell Matlab 1175 0.00 0
52 Bayesian book programs Matlab 1114 0.00 0
53 Barrier Option pricing using Finite Difference Matlab 1114 0.00 0
54 Aggregation of Correlation risk Matlab 1099 0.00 0
55 Pricing of nth to Defaults CDS without Monte Carlo Simulation - Mthod II Matlab 1075 0.00 0
56 Plain Vanilla European Call Price using Monte Carlo Simulation Matlab 1072 0.00 0
57 Bjerksund Stensland Approximation for American Option Matlab 1063 0.00 0
58 GMM estimation of fixed income models Matlab 1046 0.00 0
59 CRR Binomial tree Matlab 1044 0.00 0
60 Linking Caplet Volatilties in BGM Matlab 1042 0.00 0
61 Static Replication Methods for Vanilla Barrier Options Matlab 1032 0.00 0
62 Demo for forecasting by Kalman filter Matlab 1025 0.00 0
63 American Option in VG model using LSM Matlab 1000 0.00 0
64 Bond Option Price in Hull White Model Matlab 997 0.00 0
65 Solve the PIDE arising from a jump diffusion model Matlab 992 0.00 0
66 Classical Pairs Trading Matlab 989 0.00 0
67 Review and synthesis of bond pricing models, including CIR, HJM, many others Matlab 972 0.00 0
68 Local vs. Dupire in Excel and Matlab Matlab 954 0.00 0
69 Binomial Tree in Matlab Matlab 954 0.00 0
70 Asian Option Price using PDE Matlab 931 0.00 0
71 Call Options price in VG model using Analytical Formulas Matlab 920 0.00 0
72 Option price by Monte carlo simulation in SABR model Matlab 899 0.00 0
73 CIR and FD programs Matlab 882 0.00 0
74 Trading using SVM Matlab 873 0.00 0
75 Derman Kani Implied Binomial Tree Matlab 871 10.00 1
76 Spread Option using Three Dimensional Binomial Tree Matlab 839 8.00 1
77 Inflation Indexed Convertible Bond Pricing using Binomial Tree Matlab 831 9.00 1
78 Homework Problem for Swaption Pricing Code Matlab 831 0.00 0
79 Simulation of SDEs Matlab 824 7.00 1
80 Jackknifing Bond Option Prices and two factor CIR Matlab 820 0.00 0
81 Nearest Correlation matrix using Hypersphere Decomposition Matlab 816 0.00 0
82 Computer Simulations and Risk Assessment Matlab 806 0.00 0
83 Kalman filter demo Matlab 789 0.00 0
84 VG option price using FFT Matlab 788 0.00 0
85 Maximum Likelihood estimation with Kalman Filter Matlab 780 0.00 0
86 Discrete Barrier Options Pricing implementation Matlab 778 0.00 0
87 Moving Grid Method in Finite Difference method Matlab 773 0.00 0
88 Jamshidian Decompostion for Swaptions Matlab 744 0.00 0
89 nth to Defaults CDS without Monte Carlo Simulation - Method I Matlab 722 0.00 0
90 HW Problems and Code Solution for BDT calibration Matlab 664 0.00 0
91 FFT Option Price Using Binomial tree Matlab 660 0.00 0
92 VG Option pricing in MC Matlab 655 0.00 0
93 Demo/Tutorial on how local volatility is used in monte carlo simulations Matlab 624 0.00 0
94 LMM with refined variance scheme Matlab 586 0.00 0
95 Asian Option with Gamma bridge Matlab 586 0.00 0
96 Barrier Option Pricing using Static Replication Matlab 583 0.00 0
97 Barrier option price using Crank Nicholson Finite difference method Matlab 581 7.00 1
98 Credit Ratings Migration Matlab 579 0.00 0
99 Random numbers generation from 50+ distributions Matlab 578 0.00 0
100 Option pricing with Edgeworth density based Monte carlo simulations Matlab 576 0.00 0

Java Files
Rank Title Category Hits Rating Vote
1 Black-Litterman model Java 1205 0.00 0
2 Monte Carlo Pricers in Java Java 1203 0.00 0
3 Vasicek Model in Java Java 873 0.00 0
4 Project Martingale Java 640 0.00 0
5 Pricing American option by Hopscotch and other FD methods Java 475 0.00 0
6 ojAlgo: Maths and Optimisation for Finance Java 190 10.00 1
7 Analytic Vanilla pricers for Bates Model Java 108 9.00 2

Quantlib Files
Rank Title Category Hits Rating Vote
1 Swaption pricing in Hull White Model using Trinomial Tree Quantlib 1546 0.00 0
2 Bermudan swaption pricing in Hull White model Quantlib 845 0.00 0
3 Call price in Heston model with MC Quantlib 757 0.00 0
4 European Swaption Pricing in HullWhite using Jamshidian Engine Quantlib 675 0.00 0
5 Analytical Heston Price in Excel with Quantlib server Quantlib 524 2.00 1
6 Bond Option pricing in Hull White Model Quantlib 411 0.00 0
7 Forward bond price in Hull White Model Quantlib 378 0.00 0
8 Bond Option Pricing in Vasicek Model Quantlib 378 0.00 0
9 Swaption Price in Hull White using Quantlib 0.9 Quantlib 308 0.00 0
10 Use Quantlib to get Fair Swap Rate in Vasicek Model Quantlib 269 0.00 0
11 Pricing an inarrear swap - Quantlib code snippet Quantlib 232 0.00 0
12 Forward rate dynamics demo for Short rate Models Quantlib 220 0.00 0
13 Showing graphs in Quantlib Quantlib 159 0.00 0

R Files
Rank Title Category Hits Rating Vote
1 Scripts for Modeling Financial Time Series with S-PLUS R 915 0.00 0
2 Binomial trees with R R 763 10.00 1
3 CRAN Task View: Empirical Finance R 499 0.00 0
4 RQuantLib: R interface to the QuantLib library R 438 0.00 0

SPlus Files
Rank Title Category Hits Rating Vote
1 High Frequency Finance FX Library SPlus 345 0.00 0
2 Allan Variance SPlus 312 0.00 0

SAS Files
Rank Title Category Hits Rating Vote
1 Gibbs Estimation of Microstructure Models SAS 432 0.00 0

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