Directory of Open Source for Quantitative Finance and Trading
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Gauss Files
Rank Title Category Hits Rating Vote

.NET Files
Rank Title Category Hits Rating Vote
1 Complex Event Processing in C# .NET 1415 0.00 0
2 Yahoo Finance Pairs finder .NET 1746 9.00 1
3 Pairs trading application in C# .NET 2542 0.00 0
4 Johansen Cointegration test for stocks in yahoo finance .NET 5300 0.00 0
5 Triplets finder application .NET 820 0.00 0
6 High Performance charting library in C# WPF .NET 1040 0.00 0
7 GSL binaries to use in C# code for 32 bit .NET 1073 0.00 0
8 GSL binaries to use in C# code for 64 bit .NET 570 0.00 0
9 ClickOnce deployment of a Pairs Trading application .NET 1256 0.00 0
10 Pairs trade finder from Yahoo Finance in C# .NET 1764 0.00 0
11 Online Yahoo Quotes to MySQL Database Downloader application .NET 759 0.00 0
12 ADF testing application in C# .NET 1118 0.00 0
13 Multi regression with Standard Errors in C# using GSL .NET 557 0.00 0
14 Matrix Transpose in C# using GSL .NET 503 0.00 0
15 Multi Parameter Linear Regression in C# using GSL .NET 502 0.00 0
16 Matrix Inverse in C# using GSL .NET 656 0.00 0
17 Matrix Multiplication in C# using GSL .NET 476 0.00 0
18 OLS Linear regression in C# .NET 555 0.00 0
19 Exponential ACD model fitting using GSL in C# .NET 886 0.00 0
20 Tutorial code to use GSL in C# and generate random numbers .NET 677 0.00 0
21 Tradelink - The #1 opensource for Quantitative Trading .NET 1218 0.00 0
22 Using Ta-Lib and WPF to calculate MACD Histogram .NET 2638 8.00 1
23 Fairmat Modeling platform for derivatives pricing .NET 654 0.00 0
24 Option Pricing using the Binomial Tree Model in C# .NET 2870 0.00 0
25 American Option Pricing in Variance Gamma using Finite Difference .NET 2191 0.00 0

Mathematica Files
Rank Title Category Hits Rating Vote
1 Binomial tree for Ho Lee interest rate model Mathematica 3409 0.00 0
2 Pricing Asian Options by Contour Integration Mathematica 1024 0.00 0
3 Credit derivatives pricing in HJM term structure Mathematica 1947 0.00 0

Excel Files
Rank Title Category Hits Rating Vote
1 Excel Add-In (inspired by "Financial Numerical Recipes in C++") Excel 6048 9.00 3
2 [web:reg] GARCH(1,1) Excel 1020 0.00 0
3 [web:reg] GARCH(1,1) Excel 627 0.00 0
4 Mersenne Twister VBA Class Excel 3929 10.00 3
5 US Recession prediction Excel 1994 10.00 1
6 Excel Options monitor and strategy analyzer using Google Finance as data source Excel 6039 10.00 1
7 Option price using Binomial tree with discrete dividends Excel 2288 0.00 0
8 Anthony's super cool site for Excel Finance tutorials Excel 2716 0.00 0
9 Cointegration analysis using Johansen procedure Excel 12707 0.00 0
10 SVD Singular Value Decomposition of a matrix in Excel Excel 6413 0.00 0
11 Augmented Dickey Fuller Test (ADF) in Excel VBA Excel 14615 8.00 4
12 Leisen & Reimer Binomial Tree Excel 3202 8.00 2
13 Interest Rate Modeling by Kurt Hess Excel 3334 0.00 0
14 Identifying Real Options Excel 827 0.00 0
15 how to calculate conditional expectation Excel 1281 3.00 1
16 European Call Pricing Excel 1111 0.00 0
17 Understand Greeks Evolution Excel 1238 0.00 0
18 BGM Excel 1368 0.00 0
19 ADF Testing Excel 1077 0.00 0
20 MACD - Spreadsheet to calculate profit from trading startegy using MACD Excel 3255 0.00 0
21 Python For Excel Excel 1242 0.00 0
22 Time Series Excel files of Professor Ser-Huang Poon Excel 2596 0.00 0
23 Binomial Tree Plotting or display in Excel with multi node values Excel 1842 0.00 0
24 Generating Random variables from exponential distribution in Excel Excel 1697 0.00 0
25 Vector Autoregression (VAR) in Excel Excel 8947 9.00 2
26 Hull White model calibration using Levenberg Marquardt Excel 7480 0.00 0
27 Example of using Levenberg Marquardt for Parameters calibration in Excel Excel 4759 10.00 1
28 Levenberg Marquardt in Excel Excel 6439 0.00 0
29 Solving equations or multi dimensional root finding in Excel Excel 1650 0.00 0
30 Fastest Pikaia Genetic Optimization Algorithm in VBA Excel 1452 0.00 0
31 Large Collection of Math and Quant Finance Algorithms Excel 3157 10.00 2
32 DO NOT DOWNLOAD - Caplet Pricing in single factor Libor market model Excel 2305 0.00 0
33 Caplet Pricing by Monte Carlo simulation in Libor market model Excel 4643 0.00 0
34 Tutorial on using Galerkin to solve ODE Excel 812 0.00 0
35 Dynamic Asset Allocation Strategies (for Prop Trading and Hedge Funds) Excel 5332 10.00 3
36 Asian option price using binomial tree Excel 5046 0.00 0
37 Portfolio Optimization using Markowitz Model Excel 12314 0.00 0
38 Bootstrapping Yield Curve Excel 11003 10.00 1
39 Function Minimization using Nelder Mead Simplex Excel 3690 9.00 2
40 Local volatility tree Excel 2135 0.00 0
41 Option Price using CRR Rubinstein Binomial tree Excel 7023 0.00 0
42 Binomial Tree display in Excel Excel 1508 0.00 0
43 Online Viewer for Stock returns distribution - is lognormal assumption true? Excel 1391 0.00 0
44 Stock History Prices Downloader Excel 1726 0.00 0
45 Integral of a function in Excel Excel 1683 0.00 0
46 Generating multivariate normal random numbers in VBA Excel 2898 0.00 0
47 Cholesky Decomposition of a Matrix Excel 6718 0.00 0
48 Matrix multiplication in VBA Excel 2054 0.00 0
49 CMS rate with Hull's convexity and Timing adjustment Excel 2147 0.00 0
50 Constant Maturity Swap Rate with Monte Carlo simulation Excel 2634 0.00 0
51 Swaption pricing in Hull White using Swap Rate in MC simulation Excel 3210 0.00 0
52 Swaption Price in Hull White using Fixed leg PV in MC simulation Excel 1611 0.00 0
53 Black 76 Formula in VBA Excel 2726 0.00 0
54 Variance, Mean, Min, Max, Covariance, Correlation in VBA Excel 3716 8.00 1
55 Bond Option price in HJM model using Non recombining tree Excel 2339 0.00 0
56 American option price using Penalty method Excel 1374 0.00 0
57 American option price using Brennan Schwartz Excel 2529 0.00 0
58 Asian Option price using Monte carlo simulation Excel 7232 7.00 3
59 European option price using Monte carlo simulation Excel 4713 0.00 0
60 Analytical bond and bond option price for Hull White model Excel 2699 0.00 0
61 Bond Option pricing in Hull White using Monte Carlo simulaltion Excel 4852 0.00 0
62 Blundell/Ward filter Excel 1093 10.00 1
63 Bond Option price in vasicek using direct forward rate simulation Excel 1361 0.00 0
64 Bond option price in Vasicek model with Affine transformation Excel 1147 0.00 0
65 Vasicek Bond Option pricing using Forward Measure Excel 1207 0.00 0
66 Eigen value decomposition with sorting Excel 2269 0.00 0
67 Matrix division in VBA Excel 1070 0.00 0
68 Nelder Mead Simplex method tutorial Excel 4571 10.00 1
69 Heston Option prices using Monte carlo simulation Excel 3202 0.00 0
70 Bilinear interpolation function in VBA Excel 3896 0.00 0
71 Caplet pricing using Black's formula Excel 3366 0.00 0
72 Real Option spreadhseets by Aswath Damodaran Excel 3958 0.00 0
73 CreditCurve_Bootstrapping from CDS spreads Excel 5659 9.00 4
74 Unit root testing demo using Augmented Dickey fuller test Excel 4951 0.00 0
75 Standard error for coefficients in OLS Least Sqaures Regression in VBA Excel 1393 0.00 0
76 Demo for understanding the intuiton of Dickey fuller Critical Values Excel 1552 0.00 0
77 Empirical distribution PDF and CDF with Epanechnikov kernel smoothing Excel 1856 0.00 0
78 Swap Fair rate using Basis Point Sensitivity Excel 1256 0.00 0
79 Regress now or later : Longstaff Schwartz vs. Glasserman Yu comparision Excel 1551 9.00 1
80 American Option price using "Regress Later" by Glasserman and Yu Excel 1695 0.00 0
81 Optimal Exercise Frontier for Longstaff & Schwartz Excel 1746 0.00 0
82 Optimal Exercise Policy Analysis for Longstaff & Schwartz Excel 1091 0.00 0
83 American Option pricing by Longstaff and schwartz Least Squares without MS Addin Excel 4676 0.00 0
84 OLS - Ordinary Least Squares without Microsoft Addins Excel 2633 6.00 1
85 Bond Option Pricing Using T-Forward Measure Excel 1278 0.00 0
86 Swaption valuation using Jamshidian Trick Excel 2395 0.00 0
87 Swaption Pricing in Vasicek Model using Simulation Excel 3105 0.00 0
88 Interest Rate Derivative Bond Option Valuation by Joint Simulation Excel 1422 6.00 1
89 Fair Swap Rate in Vasicek Model Excel 1566 0.00 0
90 Finance VBA code at vbnumericalmethods Excel 5921 0.00 0
91 Excel spreadhseet for Bond Option Price in CoxIngersoll Ross CIR Excel 2032 0.00 0
92 Vasicek Bond Option pricing using Euler discretization Excel 1388 0.00 0
93 Vasicek Bond Option pricing using Exact discretization Excel 1121 0.00 0
94 Excel Spreadhseet for Bond Option Price in Vasicek Model Excel 4377 0.00 0
95 Vasicek Dynamics in Excel Excel 1466 0.00 0
96 Implied Binomial Trees in Excel without VBA Excel 2964 0.00 0
97 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 2195 9.00 3
98 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 1357 0.00 0
99 Bootstrap Forward rate vols from Caplet Volatilities Excel 3041 0.00 0
100 Efficient Frontiers via the Mean Variance Optimization Method Excel 5660 0.00 0
101 Implicit finite difference method Excel 4164 10.00 1
102 Linear Interpolation Excel 8438 10.00 1
103 Heston Call Option Price using Monte Carlo Excel 7803 7.00 3
104 Brent method for root finding Excel 2820 0.00 0
105 Random Variables with Box Muller Excel 3087 0.00 0
106 Quanto Option Pricing Excel 4279 0.00 0
107 Principal Component Analysis PCA Excel 16860 9.00 5
108 European Swaption Pricing in HullWhite using Trinomial Tree Excel 2966 0.00 0
109 Partial Derivatives Jacobian Matrix Excel 1401 0.00 0
110 Bermudan Swaption Pricing on Trinomial Tree Excel 6515 0.00 0
111 Constant Maturity Swap Pricing with Convexity adjustment Excel 7061 0.00 0
112 Volatilty swap pricing in Heston Model Excel 2864 0.00 0
113 Gaussian, Student ,Clayton, Frank and Gumbel copulas Excel 8773 9.00 2
114 Find Matrix Inverse Excel 3976 0.00 0
115 Matrix display utility functions Excel 1149 0.00 0
116 European Option price in VG model using Finite difference Excel 1806 0.00 0
117 Spreadheets for Math Finance book Excel 2960 0.00 0
118 Exponential integral function in VBA Excel 4738 6.00 2
119 Solve Tridiagonal system of equations Excel 2168 0.00 0
120 Black Litterman Implied Returns Excel 6960 0.00 0
121 Implied Volatility Surface Excel 12736 7.00 2
122 Portfolio optimization with Binomial model Excel 1698 0.00 0
123 Pricing of callable bond on Lattice Excel 4068 0.00 0
124 Bond duration Excel 3427 0.00 0
125 VBA code for 2 factor CIR Excel 3568 0.00 0
126 Tutorial on Yield curve and analysis Excel 3706 0.00 0
127 Implementation of Hull-White's No-Arbitrage Term Structure Model Excel 4582 0.00 0
128 Yield Curve Paremeterization using NS Excel 5228 7.00 2
129 Monte carlo Integration for Option pricing Excel 2090 0.00 0
130 Explicit finite difference Excel 2950 0.00 0
131 Quasi Monte Carlo in Excel Excel 4088 0.00 0
132 Math VBA code at vbnumericalmethods Excel 2525 0.00 0
133 Thomas Lee Financial Library Excel 3942 8.00 2
134 Non-recombining tree for HJM Excel 2571 0.00 0
135 2 factor Trinomial tree for default intensity Excel 3773 0.00 0
136 Tutorial on passing Arrays in Excel & VB script Excel 5979 0.00 0
137 Matrix Sorting in VBA Excel 2167 7.00 1
138 Excel C++ Event Management demo Excel 1380 1.00 1
139 C++ Excel integration Helper Excel 2361 0.00 0
140 Black Karasinki Model Excel 2857 0.00 0
141 Leisen-Reimer tree,Heston and other Apps Excel 2071 0.00 0
142 GARCH code in Excel Excel 17354 8.00 2
143 European option price using Finite Element Method Excel 2130 0.00 0
144 American Option Pricing using Random Tree Excel 3259 10.00 1

C++ Files
Rank Title Category Hits Rating Vote
1 Windows / Linux / Unix Real-time Options Calculator 136 Models C++ 1673 8.00 2
2 Order Book Test C++ 625 0.00 0
3 Public Sector Credit Framework - Open Source C++ 757 0.00 0
4 GSL 1.8 / 1.14 for Visual C++ express C++ 1740 0.00 0
5 Example/Tutorial code for QuickFix C++ 1946 0.00 0
6 Dr. Fabrice Rouah's Volopta - an excellent finance code bank C++ 2024 0.00 0
7 Exponential ACD model fitting using GSL in C++ C++ 571 0.00 0
8 Garch Fitting by Maximum Likelihood Estimation (MLE) C++ 3807 0.00 0
9 Tutorial code for using GSL to generate random numbers C++ 567 0.00 0
10 Meta Systems library C++ 1126 8.00 1
11 Pricing Barrier Options with Lattices C++ 850 0.00 0
12 SVM and fast incremental algorithms by sofia C++ 583 0.00 0
13 Binomial pricing Tree C++ 1497 0.00 0
14 MonteCarlo (Stochastic Volatility) Generic Pricer for Baskets/Worst of Structures C++ 1213 0.00 0
15 Heston calibration using Adaptive simulated annealing C++ 1505 10.00 1
16 Heston call price using analytical formula C++ 1322 0.00 0
17 Integral of a function in C C++ 757 0.00 0
18 Demo for minimizing function with Adaptive Simulated Annealing (ASA) C++ 876 0.00 0
19 Asian option price using Alternating Direction Implicit (ADI) C++ 1302 0.00 0
20 American option price using Andersen's method C++ 1415 0.00 0
21 Asian Option Price using 2D Finite Difference Method C++ 2159 0.00 0
22 Calibration of transition probability matrix using levmar C++ 1542 0.00 0
23 Tutorial for using MINPACK's C version of Levenberg Marquardt optimizer C++ 1365 0.00 0
24 Levenberg-Marquardt for Visual C++ 2005 C++ 1741 0.00 0
25 Heston pricing using finite difference method C++ 1599 0.00 0
26 Bilinear interpolation function for GSL C++ 1205 0.00 0
27 Schematic sample code of a three-dimensional operator split method for Heston Model C++ 1171 0.00 0
28 Code for basket option, call option using Heston model C++ 2384 0.00 0
29 CDO Pricing by probability bucketing C++ 1347 0.00 0
30 CDO pricing without Monte carlo simulation C++ 2112 8.00 1
31 Basket default Swap Pricing C++ 1340 0.00 0
32 CDO Pricing in Gaussian Copula C++ 2904 0.00 0
33 nth to Defaults CDS without Monte Carlo Simulation C++ 1441 0.00 0
34 Terreneuve-devel Project C++ 800 0.00 0
35 Swaption pricing in Libor Market Model(LMM) C++ 5794 0.00 0
36 Hodrick Prescott Filter C++ 1677 7.00 2
37 Trinomial Tree Class C++ 1833 0.00 0
38 C++ Financial Algoritms (Financial Numerical Recipes) C++ 9128 8.00 1
39 Asian Option Price using German Yor's approach C++ 961 0.00 0
40 Hypergeomtric and Gamma Functions for all complex inputs C++ 706 0.00 0
41 CDO Square Loss distribution using Gaussian Copula C++ 2007 0.00 0
42 CDO tranche spreads using GSL C++ 1190 0.00 0
43 American Option Pricing in VG model using Finite Difference C++ 2272 10.00 1
44 Fast greeks by simulation in forward LIBOR models C++ 1162 0.00 0
45 Trinomial Tree implementation of Hull-White model C++ 2941 0.00 0
46 American Call spread using Andersen's method C++ 1685 0.00 0
47 LMM in GSL with Predictor-Corrector C++ 1164 0.00 0
48 Call Option Price using FFTW C++ 1624 0.00 0
49 Levenberg-Marquardt nonlinear least squares algorithms in C/C++ C++ 3062 0.00 0
50 GNU Scientific Library C++ 1333 8.00 1
51 Heston Monte Carlo C++ 2433 0.00 0
52 NewMat C++ Matrix Library C++ 1849 8.00 1
53 Quantlib C++ 1498 9.00 2

Matlab Files
Rank Title Category Hits Rating Vote
1 Code Financial Modelling Matlab 2397 0.00 0
2 Binomial option pricing formula Matlab 2894 4.00 1
3 European knock out call option with a barrier Sb Matlab 1022 0.00 0
4 Monte Carlo matlab code of a good student Matlab 2144 0.00 0
5 Finite difference vs pathwise derivative for finding option delta using MC simulation Matlab 1168 0.00 0
6 Tutorial code on Log likelihood function of Exponential ACD model Matlab 821 0.00 0
7 Tutorial code for simulating from Weibull ACD model Matlab 764 0.00 0
8 Exponential Autoregressive Conditonal Duration (ACD) model simulation Matlab 997 0.00 0
9 Tutorial code on Maximum drawdown calculation Matlab 1158 0.00 0
10 Trading with Matlab Matlab 1353 0.00 0
11 european option pricing by using equal jump size method Matlab 684 0.00 0
12 efficient frontier Matlab 1085 0.00 0
13 Calculate probability of default from CDS spread Matlab 2019 0.00 0
14 pricing floating strike lookback options Matlab 1463 0.00 0
15 Minimum Variance Portfolio Matlab 2307 0.00 0
16 Margrabe Formula for Exchange options Matlab 998 0.00 0
17 Andrew Patton's Copula toolbox for Matlab Matlab 3093 0.00 0
18 Pricing Fixed Strike Lookback using Cozy and Viswanathan analytical formula Matlab 616 0.00 0
19 Demo of using Importance sampling in pricing of a Plain Vanilla Option Matlab 1205 0.00 0
20 Matlab website of Eric JONDEAU & Michael ROCKINGER Matlab 1074 9.00 1
21 BAW American Option Pricer (Matlab) Matlab 957 0.00 0
22 Monte Carlo pricing of Down-out Call Barrier option Matlab 1931 0.00 0
23 Quanto Option Matlab 1062 0.00 0
24 Matlab Code: "Correlation expansions for CDO pricing" Matlab 990 10.00 1
25 Asian American Option using Least Square monte carlo Matlab 3997 0.00 0
26 Asian Option Price using Monte Carlo simulation Matlab 3948 0.00 0
27 Example of Control Variate technique for call option price Matlab 1367 0.00 0
28 Call Option price using Monte carlo simulation Matlab 4017 0.00 0
29 Fredholm integral equation solution by Galerkin Method Matlab 1035 0.00 0
30 Tutorial on Fredholm integral equation Matlab 849 0.00 0
31 Tutorial on Principal Component analysis of Wiener process Matlab 1003 0.00 0
32 Demo on using Galerkin for solving ODE Matlab 538 0.00 0
33 Demo Tutorial on Karhunen Loeve expansion of Wiener Matlab 1052 0.00 0
34 Demo/Tutorial on implied volatility vs Local volatility Matlab 1358 0.00 0
35 Swaplet pricing in LMM using MC simulation Matlab 1210 0.00 0
36 Piterbarg's paper - calculate effective volatility of volatility Matlab 856 0.00 0
37 Piterbarg's paper - calibration of instantaneous skew Matlab 858 0.00 0
38 Implementing Piterbarg's paper - effective skew calculation Matlab 814 0.00 0
39 Option price by Monte carlo simulation in SABR model Matlab 2901 0.00 0
40 Local volatility to implied volatility using perturbation Matlab 1013 0.00 0
41 Option price in SABR using analytical formula Matlab 1238 0.00 0
42 Demo for how a local volatility model predicts wrong dynamics of implied volatility Matlab 1025 0.00 0
43 Create implied volatility smile Matlab 1759 0.00 0
44 Local volatility surface Matlab 1844 0.00 0
45 Demo/Tutorial on how local volatility is used in monte carlo simulations Matlab 2208 0.00 0
46 Implied Volatility Matlab 1677 0.00 0
47 Black Scholes option price Matlab 1646 0.00 0
48 Demo/Tutorial on dynamics of SABR model Matlab 1089 0.00 0
49 SABR model calibration Matlab 6417 10.00 2
50 Tutorial on local volatility Matlab 1037 0.00 0
51 Strike Adjusted Spread Matlab 1097 0.00 0
52 Fast Scatter plot for Octave Matlab 1346 8.00 1
53 Tutorial Demo on Cross Entropy minimization (II) Matlab 694 0.00 0
54 Tutorial Demo on Cross Entropy minimization (I) Matlab 1241 0.00 0
55 Barrier option price using Explicit Finite difference method Matlab 1765 0.00 0
56 Barrier option price using Crank Nicholson Finite difference method Matlab 2459 7.00 1
57 Barrier option price using Implicit Finite difference method Matlab 1486 0.00 0
58 Barrier option using Finite difference methods Matlab 1614 0.00 0
59 Constant Maturity Swap Rates with Hull's convexity adjustment Matlab 982 0.00 0
60 Static Replication Methods for Vanilla Barrier Options Matlab 2187 0.00 0
61 Estimate Historical Volatility - by TradingwithMatlab Matlab 1660 0.00 0
62 Forward bond price in Hull White Model Matlab 1074 0.00 0
63 Hull White Monte Carlo simulation Matlab 5819 0.00 0
64 Tutorial on dynamics of constant maturity swap rate Matlab 1033 0.00 0
65 Vasicek model estimation using Kalman filter Matlab 4703 2.00 1
66 Tutorial and code for Constrained function minimization Matlab 1179 0.00 0
67 Beta process estimation for GM vs DJI index using Kalman Filter Matlab 1685 0.00 0
68 Maximum Likelihood estimation with Kalman Filter Matlab 2885 0.00 0
69 Demo for forecasting by Kalman filter Matlab 2620 0.00 0
70 Tutorial on convexity adjustment for volatility and maturity changes Matlab 1317 0.00 0
71 Tutorial for optimal weight matrix in Generalized method of Moments Matlab 1484 0.00 0
72 Tutorial on Generalized Method of Moments (GMM) Matlab 4287 0.00 0
73 Tutorial on Maximum Likelihood estimation Matlab 7693 0.00 0
74 Successive Over Relaxation demo for American put Matlab 928 0.00 0
75 Libor Market Model Matlab 8174 0.00 0
76 Heston Model Matlab 9594 0.00 0
77 Finite Difference Methods for American Option Matlab 3883 6.00 1
78 Implicit vs Crank Nicholson vs Explicit Finite difference methods Matlab 3723 0.00 0
79 Derman Kani Implied Binomial Tree Matlab 2207 10.00 2
80 Barrier Option pricing using Finite Difference Matlab 1874 0.00 0
81 Barrier Option Pricing using Static Replication Matlab 1504 0.00 0
82 Quanto differential swap pricing Matlab 832 0.00 0
83 Convertible bond on Tsiveriotis Fernandes Binomial Tree Matlab 2546 0.00 0
84 CDO Pricing Using Gaussian Copulas in Matlab Matlab 5666 0.00 0
85 Heston Nandi Garch simulation Matlab 2315 0.00 0
86 Empirical distribution Pdf and Cdf curves Matlab 2771 0.00 0
87 Brownian Bridge Matlab 7522 0.00 0
88 Classical Pairs Trading Matlab 2306 0.00 0
89 Bond Option price for two-factor Vasicek (G2++) modell Matlab 2722 0.00 0
90 Jackknifing Bond Option Prices and two factor CIR Matlab 1621 0.00 0
91 Jamshidian Decompostion for Swaptions Matlab 1728 0.00 0
92 Inflation Indexed Convertible Bond Pricing using Binomial Tree Matlab 1713 9.00 1
93 Nearest Correlation matrix using Hypersphere Decomposition Matlab 1691 0.00 0
94 Option pricing in Variance Gamms model by Fourier Integration Matlab 1173 0.00 0
95 Bond pricing in CIR and Vasicek models using Riccati solution Matlab 2916 0.00 0
96 Plain Vanilla European Call Price using Monte Carlo Simulation Matlab 2704 0.00 0
97 Option pricing with Edgeworth density based Monte carlo simulations Matlab 1171 0.00 0
98 Vanilla Option pricing in Variance Gamma model using Monte Carlo simulation (II) Matlab 2496 0.00 0
99 Pricing of nth to Defaults CDS without Monte Carlo Simulation - Mthod II Matlab 1891 0.00 0
100 Pricing nth to Defaults CDS with Monte Carlo Simulation Matlab 2557 0.00 0
101 Credit Default Swap Pricing Matlab 3930 0.00 0
102 Plot Forward Rate Dynamics Hull White Model Matlab 1319 0.00 0
103 Bond Option Price in Hull White Model Matlab 2040 0.00 0
104 Variance Swap Pricing Matlab 3798 0.00 0
105 Homework Problem for Swaption Pricing Code Matlab 1939 0.00 0
106 Black Litterman model in Matlab Matlab 6094 0.00 0
107 HW Problems and Code Solution for BDT calibration Matlab 1480 0.00 0
108 Nokia Call Option pricing in Stochastic interest rates Matlab 1158 0.00 0
109 Efiicient frontier plot for Markowitz portfolio Matlab 3702 9.00 1
110 Beta estimation using Kalman Filter Matlab 3237 0.00 0
111 Lewis regularization method for VG Options Matlab 991 0.00 0
112 nth to Defaults CDS without Monte Carlo Simulation - Method I Matlab 1493 0.00 0
113 Computer Simulations and Risk Assessment Matlab 1676 0.00 0
114 Simulation of SDEs Matlab 1517 7.00 1
115 VGSI method for illiquid market Matlab 1100 0.00 0
116 American Option in VG model using LSM Matlab 1684 0.00 0
117 Call Options price in VG model using Analytical Formulas Matlab 2087 0.00 0
118 Efficient frontier for portfolio Matlab 3975 0.00 0
119 Barrier Options Pricing Matlab 4513 0.00 0
120 Local vs. Dupire in Excel and Matlab Matlab 2915 0.00 0
121 Credit Ratings Migration Matlab 1164 0.00 0
122 Review and synthesis of bond pricing models, including CIR, HJM, many others Matlab 1819 0.00 0
123 Characteristic Function and Regime Switching Models Matlab 2605 0.00 0
124 Random numbers generation from 50+ distributions Matlab 1354 0.00 0
125 Asian Option Price using PDE Matlab 1991 0.00 0
126 Alternating Direction Implicit (ADI) Matlab 4457 0.00 0
127 Solve the PIDE arising from a jump diffusion model Matlab 2290 0.00 0
128 CDO Tranche Pricing using T copula Matlab 3433 0.00 0
129 Solving Nonlinear Equations with Newton's Method Matlab 4472 0.00 0
130 Implicit Finite Difference Method Matlab 2917 6.00 1
131 Global Derivatives Matlab Code Matlab 2743 0.00 0
132 Matlab program files for Stochastic Differential Equations Matlab 2780 8.00 1
133 Financial modelling and analysis Matlab 2835 0.00 0
134 BDT model Matlab 2122 0.00 0
135 Maximum Likelihood estimation using Kalman filter Matlab 2960 0.00 0
136 MLE estimation for multivariate normal distribution Matlab 3329 0.00 0
137 Kalman filter demo Matlab 2095 0.00 0
138 Anderson's Method for American Put Matlab 974 0.00 0
139 LMM with refined variance scheme Matlab 1201 0.00 0
140 LFM approximation Matlab 2402 0.00 0
141 American Spread Option Price using LSM Matlab 2204 0.00 0
142 Basket CDS pricing using Copula Matlab 3469 1.00 1
143 Aggregation of Correlation risk Matlab 1645 0.00 0
144 Characteristic function of bivariate GBM Matlab 1009 0.00 0
145 Trading using SVM Matlab 1972 0.00 0
146 Linking Caplet Volatilties in BGM Matlab 1699 0.00 0
147 VG Option pricing in MC Matlab 1526 0.00 0
148 VG option price using FFT Matlab 1885 0.00 0
149 Spread Option using Three Dimensional Binomial Tree Matlab 1728 8.00 1
150 Option Quote using Static Hedging Matlab 921 0.00 0
151 LSM Monte Carlo for American Options Pricing Matlab 5312 9.00 3
152 FFT Option price using Characteristic function Matlab 3090 3.00 2
153 FFT Option Price Using Binomial tree Matlab 1359 0.00 0
154 Discrete Barrier Options Pricing implementation Matlab 1491 0.00 0
155 CRR Binomial tree Matlab 2394 0.00 0
156 Black Scholes Price & Greeks Matlab 5638 1.00 1
157 Bjerksund Stensland Approximation for American Option Matlab 2102 0.00 0
158 Asian Option with Gamma bridge Matlab 1355 0.00 0
159 American Option Price using Explicit Euler Finite Difference Method Matlab 3312 0.00 0

Java Files
Rank Title Category Hits Rating Vote
1 High frequency trading Library Java 682 4.00 1
2 The Bubble Index Java 325 0.00 0
3 Quantitative Finance Library for Java by Idylwood Technologies Java 605 0.00 0
4 ActiveQuant Java 577 0.00 0
5 Open Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX Java 1612 0.00 0
6 Complex event processing in High frequency finance by Esper Java 614 0.00 0
7 Analytic Vanilla pricers for Bates Model Java 644 9.00 2
8 ojAlgo: Maths and Optimisation for Finance Java 733 10.00 1
9 Black-Litterman model Java 2638 0.00 0
10 Monte Carlo Pricers in Java Java 2201 0.00 0
11 Project Martingale Java 1342 0.00 0

Quantlib Files
Rank Title Category Hits Rating Vote
1 Quantlib examples by Edouard Tallent Quantlib 2368 0.00 0
2 Swaption Price in Hull White using Quantlib 0.9 Quantlib 1825 0.00 0
3 Forward rate dynamics demo for Short rate Models Quantlib 1040 0.00 0
4 Showing graphs in Quantlib Quantlib 722 0.00 0
5 Forward bond price in Hull White Model Quantlib 1229 0.00 0
6 Bond Option pricing in Hull White Model Quantlib 1414 0.00 0
7 Bermudan swaption pricing in Hull White model Quantlib 2666 0.00 0
8 Pricing an inarrear swap - Quantlib code snippet Quantlib 715 0.00 0
9 Use Quantlib to get Fair Swap Rate in Vasicek Model Quantlib 741 0.00 0
10 Bond Option Pricing in Vasicek Model Quantlib 1311 0.00 0
11 Analytical Heston Price in Excel with Quantlib server Quantlib 1146 2.00 1
12 Call price in Heston model with MC Quantlib 1971 0.00 0
13 Swaption pricing in Hull White Model using Trinomial Tree Quantlib 3417 0.00 0
14 European Swaption Pricing in HullWhite using Jamshidian Engine Quantlib 1605 0.00 0

R Files
Rank Title Category Hits Rating Vote
1 pure R intraday trading framework R 627 0.00 0
2 Bootstrapping TSY Yield Curve R 1400 0.00 0
3 Code snippet to price a vanilla option in R R 524 0.00 0
4 Beautiful Pairs trading code in R by Paul Teetor R 3748 10.00 1
5 Binomial trees with R R 1886 10.00 1
6 Scripts for Modeling Financial Time Series with S-PLUS R 1829 0.00 0
7 CRAN Task View: Empirical Finance R 1052 0.00 0
8 RQuantLib: R interface to the QuantLib library R 991 0.00 0

SPlus Files
Rank Title Category Hits Rating Vote
1 High Frequency Finance FX Library SPlus 859 0.00 0
2 Allan Variance SPlus 783 0.00 0

SAS Files
Rank Title Category Hits Rating Vote
1 Gibbs Estimation of Microstructure Models SAS 1125 0.00 0

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