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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 477 0.00 0
2 Yahoo Finance Pairs finder .NET 692 0.00 0
3 Pairs trading application in C# .NET 855 0.00 0
4 Johansen Cointegration test for stocks in yahoo finance .NET 477 0.00 0
5 Triplets finder application .NET 255 0.00 0
6 High Performance charting library in C# WPF .NET 311 0.00 0
7 GSL binaries to use in C# code for 32 bit .NET 299 0.00 0
8 GSL binaries to use in C# code for 64 bit .NET 175 0.00 0
9 ClickOnce deployment of a Pairs Trading application .NET 395 0.00 0
10 Pairs trade finder from Yahoo Finance in C# .NET 418 0.00 0
11 Online Yahoo Quotes to MySQL Database Downloader application .NET 233 0.00 0
12 ADF testing application in C# .NET 303 0.00 0
13 Multi regression with Standard Errors in C# using GSL .NET 156 0.00 0
14 Matrix Transpose in C# using GSL .NET 151 0.00 0
15 Multi Parameter Linear Regression in C# using GSL .NET 150 0.00 0
16 Matrix Inverse in C# using GSL .NET 210 0.00 0
17 Matrix Multiplication in C# using GSL .NET 125 0.00 0
18 OLS Linear regression in C# .NET 169 0.00 0
19 Exponential ACD model fitting using GSL in C# .NET 297 0.00 0
20 Tutorial code to use GSL in C# and generate random numbers .NET 188 0.00 0
21 Tradelink - The #1 opensource for Quantitative Trading .NET 351 0.00 0
22 Using Ta-Lib and WPF to calculate MACD Histogram .NET 626 0.00 0
23 Fairmat Modeling platform for derivatives pricing .NET 268 0.00 0
24 Option Pricing using the Binomial Tree Model in C# .NET 1843 0.00 0
25 American Option Pricing in Variance Gamma using Finite Difference .NET 1493 0.00 0

Mathematica Files
Rank Title Category Hits Rating Vote
1 Binomial tree for Ho Lee interest rate model Mathematica 2368 0.00 0
2 Pricing Asian Options by Contour Integration Mathematica 640 0.00 0
3 Credit derivatives pricing in HJM term structure Mathematica 1302 0.00 0

Excel Files
Rank Title Category Hits Rating Vote
1 Mersenne Twister VBA Class Excel 665 10.00 1
2 US Recession prediction Excel 758 10.00 1
3 Excel Options monitor and strategy analyzer using Google Finance as data source Excel 2041 10.00 1
4 Option price using Binomial tree with discrete dividends Excel 695 0.00 0
5 Anthony's super cool site for Excel Finance tutorials Excel 1113 0.00 0
6 Cointegration analysis using Johansen procedure Excel 7010 0.00 0
7 SVD Singular Value Decomposition of a matrix in Excel Excel 3208 0.00 0
8 Augmented Dickey Fuller Test (ADF) in Excel VBA Excel 2939 6.00 1
9 Leisen & Reimer Binomial Tree Excel 2250 8.00 2
10 Interest Rate Modeling by Kurt Hess Excel 989 0.00 0
11 Identifying Real Options Excel 259 0.00 0
12 how to calculate conditional expectation Excel 394 0.00 0
13 European Call Pricing Excel 366 0.00 0
14 Understand Greeks Evolution Excel 422 0.00 0
15 BGM Excel 493 0.00 0
16 ADF Testing Excel 329 0.00 0
17 MACD - Spreadsheet to calculate profit from trading startegy using MACD Excel 791 0.00 0
18 Python For Excel Excel 435 0.00 0
19 Time Series Excel files of Professor Ser-Huang Poon Excel 984 0.00 0
20 Excel Add-In (inspired by "Financial Numerical Recipes in C++") Excel 2540 10.00 1
21 Binomial Tree Plotting or display in Excel with multi node values Excel 1028 0.00 0
22 Generating Random variables from exponential distribution in Excel Excel 655 0.00 0
23 Vector Autoregression (VAR) in Excel Excel 3419 0.00 0
24 Hull White model calibration using Levenberg Marquardt Excel 3336 0.00 0
25 Example of using Levenberg Marquardt for Parameters calibration in Excel Excel 1980 10.00 1
26 Levenberg Marquardt in Excel Excel 2620 0.00 0
27 Solving equations or multi dimensional root finding in Excel Excel 575 0.00 0
28 Fastest Pikaia Genetic Optimization Algorithm in VBA Excel 598 0.00 0
29 Large Collection of Math and Quant Finance Algorithms Excel 1680 10.00 2
30 DO NOT DOWNLOAD - Caplet Pricing in single factor Libor market model Excel 1641 0.00 0
31 Caplet Pricing by Monte Carlo simulation in Libor market model Excel 2616 0.00 0
32 Tutorial on using Galerkin to solve ODE Excel 302 0.00 0
33 Dynamic Asset Allocation Strategies (for Prop Trading and Hedge Funds) Excel 3590 10.00 3
34 Asian option price using binomial tree Excel 2732 0.00 0
35 Portfolio Optimization using Markowitz Model Excel 5769 0.00 0
36 Bootstrapping Yield Curve Excel 5241 10.00 1
37 Function Minimization using Nelder Mead Simplex Excel 1837 9.00 2
38 Local volatility tree Excel 1124 0.00 0
39 Option Price using CRR Rubinstein Binomial tree Excel 2473 0.00 0
40 Binomial Tree display in Excel Excel 800 0.00 0
41 Online Viewer for Stock returns distribution - is lognormal assumption true? Excel 675 0.00 0
42 Stock History Prices Downloader Excel 950 0.00 0
43 Integral of a function in Excel Excel 650 0.00 0
44 Generating multivariate normal random numbers in VBA Excel 1445 0.00 0
45 Cholesky Decomposition of a Matrix Excel 3466 0.00 0
46 Matrix multiplication in VBA Excel 1158 0.00 0
47 CMS rate with Hull's convexity and Timing adjustment Excel 1154 0.00 0
48 Constant Maturity Swap Rate with Monte Carlo simulation Excel 1515 0.00 0
49 Swaption pricing in Hull White using Swap Rate in MC simulation Excel 1398 0.00 0
50 Swaption Price in Hull White using Fixed leg PV in MC simulation Excel 683 0.00 0
51 Black 76 Formula in VBA Excel 1346 0.00 0
52 Variance, Mean, Min, Max, Covariance, Correlation in VBA Excel 2133 8.00 1
53 Bond Option price in HJM model using Non recombining tree Excel 1310 0.00 0
54 American option price using Penalty method Excel 733 0.00 0
55 American option price using Brennan Schwartz Excel 1251 0.00 0
56 Asian Option price using Monte carlo simulation Excel 3289 5.00 2
57 European option price using Monte carlo simulation Excel 1974 0.00 0
58 Analytical bond and bond option price for Hull White model Excel 1537 0.00 0
59 Bond Option pricing in Hull White using Monte Carlo simulaltion Excel 2804 0.00 0
60 Blundell/Ward filter Excel 537 10.00 1
61 Bond Option price in vasicek using direct forward rate simulation Excel 626 0.00 0
62 Bond option price in Vasicek model with Affine transformation Excel 527 0.00 0
63 Vasicek Bond Option pricing using Forward Measure Excel 575 0.00 0
64 Eigen value decomposition with sorting Excel 1201 0.00 0
65 Matrix division in VBA Excel 403 0.00 0
66 Nelder Mead Simplex method tutorial Excel 2878 10.00 1
67 Heston Option prices using Monte carlo simulation Excel 1860 0.00 0
68 Bilinear interpolation function in VBA Excel 1795 0.00 0
69 Caplet pricing using Black's formula Excel 1771 0.00 0
70 Real Option spreadhseets by Aswath Damodaran Excel 1811 0.00 0
71 CreditCurve_Bootstrapping from CDS spreads Excel 3657 9.00 4
72 Unit root testing demo using Augmented Dickey fuller test Excel 2864 0.00 0
73 Standard error for coefficients in OLS Least Sqaures Regression in VBA Excel 758 0.00 0
74 Demo for understanding the intuiton of Dickey fuller Critical Values Excel 927 0.00 0
75 Empirical distribution PDF and CDF with Epanechnikov kernel smoothing Excel 1042 0.00 0
76 Swap Fair rate using Basis Point Sensitivity Excel 643 0.00 0
77 Regress now or later : Longstaff Schwartz vs. Glasserman Yu comparision Excel 864 9.00 1
78 American Option price using "Regress Later" by Glasserman and Yu Excel 1108 0.00 0
79 Optimal Exercise Frontier for Longstaff & Schwartz Excel 895 0.00 0
80 Optimal Exercise Policy Analysis for Longstaff & Schwartz Excel 547 0.00 0
81 American Option pricing by Longstaff and schwartz Least Squares without MS Addin Excel 2148 0.00 0
82 OLS - Ordinary Least Squares without Microsoft Addins Excel 1489 6.00 1
83 Bond Option Pricing Using T-Forward Measure Excel 667 0.00 0
84 Swaption valuation using Jamshidian Trick Excel 1269 0.00 0
85 Swaption Pricing in Vasicek Model using Simulation Excel 1574 0.00 0
86 Interest Rate Derivative Bond Option Valuation by Joint Simulation Excel 646 6.00 1
87 Fair Swap Rate in Vasicek Model Excel 871 0.00 0
88 Finance VBA code at vbnumericalmethods Excel 4538 0.00 0
89 Excel spreadhseet for Bond Option Price in CoxIngersoll Ross CIR Excel 1064 0.00 0
90 Vasicek Bond Option pricing using Euler discretization Excel 681 0.00 0
91 Vasicek Bond Option pricing using Exact discretization Excel 518 0.00 0
92 Excel Spreadhseet for Bond Option Price in Vasicek Model Excel 1727 0.00 0
93 Vasicek Dynamics in Excel Excel 789 0.00 0
94 Implied Binomial Trees in Excel without VBA Excel 2032 0.00 0
95 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 1596 9.00 3
96 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 802 0.00 0
97 Bootstrap Forward rate vols from Caplet Volatilities Excel 1834 0.00 0
98 Efficient Frontiers via the Mean Variance Optimization Method Excel 3528 0.00 0
99 Implicit finite difference method Excel 2202 10.00 1
100 Linear Interpolation Excel 4384 10.00 1
101 Heston Call Option Price using Monte Carlo Excel 4985 7.00 3
102 Brent method for root finding Excel 1435 0.00 0
103 Random Variables with Box Muller Excel 1987 0.00 0
104 Quanto Option Pricing Excel 2834 0.00 0
105 Principal Component Analysis PCA Excel 10276 9.00 5
106 European Swaption Pricing in HullWhite using Trinomial Tree Excel 2068 0.00 0
107 Partial Derivatives Jacobian Matrix Excel 659 0.00 0
108 Bermudan Swaption Pricing on Trinomial Tree Excel 4340 0.00 0
109 Constant Maturity Swap Pricing with Convexity adjustment Excel 5524 0.00 0
110 Volatilty swap pricing in Heston Model Excel 2080 0.00 0
111 Gaussian, Student ,Clayton, Frank and Gumbel copulas Excel 5673 9.00 2
112 Find Matrix Inverse Excel 2822 0.00 0
113 Matrix display utility functions Excel 668 0.00 0
114 European Option price in VG model using Finite difference Excel 1224 0.00 0
115 Spreadheets for Math Finance book Excel 2075 0.00 0
116 Exponential integral function in VBA Excel 2423 6.00 2
117 Solve Tridiagonal system of equations Excel 990 0.00 0
118 Black Litterman Implied Returns Excel 4182 0.00 0
119 Implied Volatility Surface Excel 9317 7.00 2
120 Portfolio optimization with Binomial model Excel 1008 0.00 0
121 Pricing of callable bond on Lattice Excel 2011 0.00 0
122 Bond duration Excel 2496 0.00 0
123 VBA code for 2 factor CIR Excel 2183 0.00 0
124 Tutorial on Yield curve and analysis Excel 2569 0.00 0
125 Implementation of Hull-White's No-Arbitrage Term Structure Model Excel 2744 0.00 0
126 Yield Curve Paremeterization using NS Excel 2599 7.00 2
127 Monte carlo Integration for Option pricing Excel 1369 0.00 0
128 Explicit finite difference Excel 1705 0.00 0
129 Quasi Monte Carlo in Excel Excel 2394 0.00 0
130 Math VBA code at vbnumericalmethods Excel 1577 0.00 0
131 Thomas Lee Financial Library Excel 2675 8.00 2
132 Non-recombining tree for HJM Excel 1831 0.00 0
133 2 factor Trinomial tree for default intensity Excel 2965 0.00 0
134 Tutorial on passing Arrays in Excel & VB script Excel 1677 0.00 0
135 Matrix Sorting in VBA Excel 1580 7.00 1
136 Excel C++ Event Management demo Excel 775 1.00 1
137 C++ Excel integration Helper Excel 1778 0.00 0
138 Black Karasinki Model Excel 1748 0.00 0
139 Leisen-Reimer tree,Heston and other Apps Excel 1254 0.00 0
140 GARCH code in Excel Excel 11776 8.00 2
141 European option price using Finite Element Method Excel 1333 0.00 0
142 American Option Pricing using Random Tree Excel 2521 10.00 1

C++ Files
Rank Title Category Hits Rating Vote
1 Public Sector Credit Framework - Open Source C++ 15 0.00 0
2 GSL 1.8 / 1.14 for Visual C++ express C++ 602 0.00 0
3 Windows / Linux / Unix Real-time Options Calculator C++ 415 8.00 2
4 Example/Tutorial code for QuickFix C++ 712 0.00 0
5 Dr. Fabrice Rouah's Volopta - an excellent finance code bank C++ 847 0.00 0
6 Exponential ACD model fitting using GSL in C++ C++ 234 0.00 0
7 Garch Fitting by Maximum Likelihood Estimation (MLE) C++ 2676 0.00 0
8 Tutorial code for using GSL to generate random numbers C++ 191 0.00 0
9 Meta Systems library C++ 708 8.00 1
10 Pricing Barrier Options with Lattices C++ 308 0.00 0
11 SVM and fast incremental algorithms by sofia C++ 168 0.00 0
12 Binomial pricing Tree C++ 470 0.00 0
13 MonteCarlo (Stochastic Volatility) Generic Pricer for Baskets/Worst of Structures C++ 449 0.00 0
14 Heston calibration using Adaptive simulated annealing C++ 801 10.00 1
15 Heston call price using analytical formula C++ 731 0.00 0
16 Integral of a function in C C++ 386 0.00 0
17 Demo for minimizing function with Adaptive Simulated Annealing (ASA) C++ 381 0.00 0
18 Asian option price using Alternating Direction Implicit (ADI) C++ 801 0.00 0
19 American option price using Andersen's method C++ 1018 0.00 0
20 Asian Option Price using 2D Finite Difference Method C++ 1374 0.00 0
21 Calibration of transition probability matrix using levmar C++ 1122 0.00 0
22 Tutorial for using MINPACK's C version of Levenberg Marquardt optimizer C++ 637 0.00 0
23 Levenberg-Marquardt for Visual C++ 2005 C++ 925 0.00 0
24 Heston pricing using finite difference method C++ 1069 0.00 0
25 Bilinear interpolation function for GSL C++ 746 0.00 0
26 Schematic sample code of a three-dimensional operator split method for Heston Model C++ 642 0.00 0
27 Code for basket option, call option using Heston model C++ 1505 0.00 0
28 CDO Pricing by probability bucketing C++ 920 0.00 0
29 CDO pricing without Monte carlo simulation C++ 1655 8.00 1
30 Basket default Swap Pricing C++ 809 0.00 0
31 CDO Pricing in Gaussian Copula C++ 2130 0.00 0
32 nth to Defaults CDS without Monte Carlo Simulation C++ 972 0.00 0
33 Terreneuve-devel Project C++ 505 0.00 0
34 Swaption pricing in Libor Market Model(LMM) C++ 4218 0.00 0
35 Hodrick Prescott Filter C++ 795 7.00 2
36 Trinomial Tree Class C++ 1351 0.00 0
37 C++ Financial Algoritms (Financial Numerical Recipes) C++ 7986 8.00 1
38 Asian Option Price using German Yor's approach C++ 616 0.00 0
39 Hypergeomtric and Gamma Functions for all complex inputs C++ 386 0.00 0
40 CDO Square Loss distribution using Gaussian Copula C++ 1544 0.00 0
41 CDO tranche spreads using GSL C++ 841 0.00 0
42 American Option Pricing in VG model using Finite Difference C++ 1600 10.00 1
43 Fast greeks by simulation in forward LIBOR models C++ 800 0.00 0
44 Trinomial Tree implementation of Hull-White model C++ 1905 0.00 0
45 American Call spread using Andersen's method C++ 1310 0.00 0
46 LMM in GSL with Predictor-Corrector C++ 786 0.00 0
47 Call Option Price using FFTW C++ 1028 0.00 0
48 Levenberg-Marquardt nonlinear least squares algorithms in C/C++ C++ 2342 0.00 0
49 GNU Scientific Library C++ 835 8.00 1
50 Heston Monte Carlo C++ 1792 0.00 0
51 NewMat C++ Matrix Library C++ 1146 8.00 1
52 Quantlib C++ 1054 9.00 2

Matlab Files
Rank Title Category Hits Rating Vote
1 Binomial option pricing formula Matlab 1832 4.00 1
2 European knock out call option with a barrier Sb Matlab 383 0.00 0
3 Monte Carlo matlab code of a good student Matlab 912 0.00 0
4 Finite difference vs pathwise derivative for finding option delta using MC simulation Matlab 414 0.00 0
5 Tutorial code on Log likelihood function of Exponential ACD model Matlab 301 0.00 0
6 Tutorial code for simulating from Weibull ACD model Matlab 256 0.00 0
7 Exponential Autoregressive Conditonal Duration (ACD) model simulation Matlab 281 0.00 0
8 Tutorial code on Maximum drawdown calculation Matlab 299 0.00 0
9 Trading with Matlab Matlab 518 0.00 0
10 european option pricing by using equal jump size method Matlab 260 0.00 0
11 efficient frontier Matlab 374 0.00 0
12 Calculate probability of default from CDS spread Matlab 818 0.00 0
13 pricing floating strike lookback options Matlab 406 0.00 0
14 Minimum Variance Portfolio Matlab 631 0.00 0
15 Margrabe Formula for Exchange options Matlab 303 0.00 0
16 Andrew Patton's Copula toolbox for Matlab Matlab 2206 0.00 0
17 Pricing Fixed Strike Lookback using Cozy and Viswanathan analytical formula Matlab 233 0.00 0
18 Demo of using Importance sampling in pricing of a Plain Vanilla Option Matlab 495 0.00 0
19 Matlab website of Eric JONDEAU & Michael ROCKINGER Matlab 450 9.00 1
20 BAW American Option Pricer (Matlab) Matlab 436 0.00 0
21 Monte Carlo pricing of Down-out Call Barrier option Matlab 752 0.00 0
22 Quanto Option Matlab 460 0.00 0
23 Matlab Code: "Correlation expansions for CDO pricing" Matlab 515 10.00 1
24 Asian American Option using Least Square monte carlo Matlab 2918 0.00 0
25 Asian Option Price using Monte Carlo simulation Matlab 2295 0.00 0
26 Example of Control Variate technique for call option price Matlab 637 0.00 0
27 Call Option price using Monte carlo simulation Matlab 980 0.00 0
28 Fredholm integral equation solution by Galerkin Method Matlab 472 0.00 0
29 Tutorial on Fredholm integral equation Matlab 321 0.00 0
30 Tutorial on Principal Component analysis of Wiener process Matlab 488 0.00 0
31 Demo on using Galerkin for solving ODE Matlab 216 0.00 0
32 Demo Tutorial on Karhunen Loeve expansion of Wiener Matlab 485 0.00 0
33 Demo/Tutorial on implied volatility vs Local volatility Matlab 733 0.00 0
34 Swaplet pricing in LMM using MC simulation Matlab 662 0.00 0
35 Piterbarg's paper - calculate effective volatility of volatility Matlab 431 0.00 0
36 Piterbarg's paper - calibration of instantaneous skew Matlab 461 0.00 0
37 Implementing Piterbarg's paper - effective skew calculation Matlab 390 0.00 0
38 Option price by Monte carlo simulation in SABR model Matlab 1832 0.00 0
39 Local volatility to implied volatility using perturbation Matlab 543 0.00 0
40 Option price in SABR using analytical formula Matlab 639 0.00 0
41 Demo for how a local volatility model predicts wrong dynamics of implied volatility Matlab 499 0.00 0
42 Create implied volatility smile Matlab 965 0.00 0
43 Local volatility surface Matlab 857 0.00 0
44 Demo/Tutorial on how local volatility is used in monte carlo simulations Matlab 1207 0.00 0
45 Implied Volatility Matlab 620 0.00 0
46 Black Scholes option price Matlab 645 0.00 0
47 Demo/Tutorial on dynamics of SABR model Matlab 554 0.00 0
48 SABR model calibration Matlab 4675 10.00 2
49 Tutorial on local volatility Matlab 501 0.00 0
50 Strike Adjusted Spread Matlab 713 0.00 0
51 Fast Scatter plot for Octave Matlab 846 8.00 1
52 Tutorial Demo on Cross Entropy minimization (II) Matlab 324 0.00 0
53 Tutorial Demo on Cross Entropy minimization (I) Matlab 644 0.00 0
54 Barrier option price using Explicit Finite difference method Matlab 959 0.00 0
55 Barrier option price using Crank Nicholson Finite difference method Matlab 1074 7.00 1
56 Barrier option price using Implicit Finite difference method Matlab 635 0.00 0
57 Barrier option using Finite difference methods Matlab 739 0.00 0
58 Constant Maturity Swap Rates with Hull's convexity adjustment Matlab 453 0.00 0
59 Static Replication Methods for Vanilla Barrier Options Matlab 1597 0.00 0
60 Estimate Historical Volatility - by TradingwithMatlab Matlab 914 0.00 0
61 Forward bond price in Hull White Model Matlab 548 0.00 0
62 Hull White Monte Carlo simulation Matlab 3297 0.00 0
63 Tutorial on dynamics of constant maturity swap rate Matlab 661 0.00 0
64 Vasicek model estimation using Kalman filter Matlab 2813 0.00 0
65 Tutorial and code for Constrained function minimization Matlab 614 0.00 0
66 Beta process estimation for GM vs DJI index using Kalman Filter Matlab 764 0.00 0
67 Maximum Likelihood estimation with Kalman Filter Matlab 1496 0.00 0
68 Demo for forecasting by Kalman filter Matlab 1524 0.00 0
69 Tutorial on convexity adjustment for volatility and maturity changes Matlab 752 0.00 0
70 Tutorial for optimal weight matrix in Generalized method of Moments Matlab 700 0.00 0
71 Tutorial on Generalized Method of Moments (GMM) Matlab 2622 0.00 0
72 Tutorial on Maximum Likelihood estimation Matlab 5532 0.00 0
73 Successive Over Relaxation demo for American put Matlab 535 0.00 0
74 Libor Market Model Matlab 6067 0.00 0
75 Heston Model Matlab 5724 0.00 0
76 Finite Difference Methods for American Option Matlab 2366 6.00 1
77 Implicit vs Crank Nicholson vs Explicit Finite difference methods Matlab 2739 0.00 0
78 Derman Kani Implied Binomial Tree Matlab 1316 10.00 1
79 Barrier Option pricing using Finite Difference Matlab 1373 0.00 0
80 Barrier Option Pricing using Static Replication Matlab 846 0.00 0
81 Quanto differential swap pricing Matlab 460 0.00 0
82 Convertible bond on Tsiveriotis Fernandes Binomial Tree Matlab 1683 0.00 0
83 CDO Pricing Using Gaussian Copulas in Matlab Matlab 3843 0.00 0
84 Heston Nandi Garch simulation Matlab 1658 0.00 0
85 Empirical distribution Pdf and Cdf curves Matlab 2091 0.00 0
86 Brownian Bridge Matlab 2215 0.00 0
87 Classical Pairs Trading Matlab 1476 0.00 0
88 Bond Option price for two-factor Vasicek (G2++) modell Matlab 1744 0.00 0
89 Jackknifing Bond Option Prices and two factor CIR Matlab 1146 0.00 0
90 Jamshidian Decompostion for Swaptions Matlab 1067 0.00 0
91 Inflation Indexed Convertible Bond Pricing using Binomial Tree Matlab 1085 9.00 1
92 Nearest Correlation matrix using Hypersphere Decomposition Matlab 1126 0.00 0
93 Option pricing in Variance Gamms model by Fourier Integration Matlab 771 0.00 0
94 Bond pricing in CIR and Vasicek models using Riccati solution Matlab 2068 0.00 0
95 Plain Vanilla European Call Price using Monte Carlo Simulation Matlab 1618 0.00 0
96 Option pricing with Edgeworth density based Monte carlo simulations Matlab 756 0.00 0
97 Vanilla Option pricing in Variance Gamma model using Monte Carlo simulation (II) Matlab 1748 0.00 0
98 Pricing of nth to Defaults CDS without Monte Carlo Simulation - Mthod II Matlab 1346 0.00 0
99 Pricing nth to Defaults CDS with Monte Carlo Simulation Matlab 1562 0.00 0
100 Credit Default Swap Pricing Matlab 2945 0.00 0
101 Plot Forward Rate Dynamics Hull White Model Matlab 874 0.00 0
102 Bond Option Price in Hull White Model Matlab 1326 0.00 0
103 Variance Swap Pricing Matlab 2920 0.00 0
104 Homework Problem for Swaption Pricing Code Matlab 1212 0.00 0
105 Black Litterman model in Matlab Matlab 4770 0.00 0
106 HW Problems and Code Solution for BDT calibration Matlab 976 0.00 0
107 Nokia Call Option pricing in Stochastic interest rates Matlab 669 0.00 0
108 Efiicient frontier plot for Markowitz portfolio Matlab 2473 0.00 0
109 Beta estimation using Kalman Filter Matlab 2042 0.00 0
110 Lewis regularization method for VG Options Matlab 657 0.00 0
111 nth to Defaults CDS without Monte Carlo Simulation - Method I Matlab 926 0.00 0
112 Computer Simulations and Risk Assessment Matlab 1085 0.00 0
113 Simulation of SDEs Matlab 1066 7.00 1
114 VGSI method for illiquid market Matlab 540 0.00 0
115 American Option in VG model using LSM Matlab 1264 0.00 0
116 Call Options price in VG model using Analytical Formulas Matlab 1255 0.00 0
117 Efficient frontier for portfolio Matlab 3268 0.00 0
118 Barrier Options Pricing Matlab 2819 0.00 0
119 Local vs. Dupire in Excel and Matlab Matlab 1546 0.00 0
120 Credit Ratings Migration Matlab 743 0.00 0
121 Review and synthesis of bond pricing models, including CIR, HJM, many others Matlab 1242 0.00 0
122 Characteristic Function and Regime Switching Models Matlab 1958 0.00 0
123 Random numbers generation from 50+ distributions Matlab 859 0.00 0
124 Asian Option Price using PDE Matlab 1323 0.00 0
125 Alternating Direction Implicit (ADI) Matlab 2415 0.00 0
126 Solve the PIDE arising from a jump diffusion model Matlab 1437 0.00 0
127 CDO Tranche Pricing using T copula Matlab 2684 0.00 0
128 Solving Nonlinear Equations with Newton's Method Matlab 3678 0.00 0
129 Implicit Finite Difference Method Matlab 2154 6.00 1
130 Global Derivatives Matlab Code Matlab 2026 0.00 0
131 Matlab program files for Stochastic Differential Equations Matlab 1765 0.00 0
132 Financial modelling and analysis Matlab 1972 0.00 0
133 BDT model Matlab 1605 0.00 0
134 Maximum Likelihood estimation using Kalman filter Matlab 2198 0.00 0
135 MLE estimation for multivariate normal distribution Matlab 1882 0.00 0
136 Kalman filter demo Matlab 1070 0.00 0
137 Anderson's Method for American Put Matlab 558 0.00 0
138 LMM with refined variance scheme Matlab 783 0.00 0
139 LFM approximation Matlab 1697 0.00 0
140 American Spread Option Price using LSM Matlab 1625 0.00 0
141 Basket CDS pricing using Copula Matlab 2525 1.00 1
142 Aggregation of Correlation risk Matlab 1307 0.00 0
143 Characteristic function of bivariate GBM Matlab 609 0.00 0
144 Trading using SVM Matlab 1244 0.00 0
145 Linking Caplet Volatilties in BGM Matlab 1269 0.00 0
146 VG Option pricing in MC Matlab 923 0.00 0
147 VG option price using FFT Matlab 1208 0.00 0
148 Spread Option using Three Dimensional Binomial Tree Matlab 1142 8.00 1
149 Option Quote using Static Hedging Matlab 528 0.00 0
150 LSM Monte Carlo for American Options Pricing Matlab 4018 9.00 2
151 FFT Option price using Characteristic function Matlab 2359 3.00 2
152 FFT Option Price Using Binomial tree Matlab 918 0.00 0
153 Discrete Barrier Options Pricing implementation Matlab 1023 0.00 0
154 CRR Binomial tree Matlab 1641 0.00 0
155 Black Scholes Price & Greeks Matlab 3953 1.00 1
156 Bjerksund Stensland Approximation for American Option Matlab 1449 0.00 0
157 Asian Option with Gamma bridge Matlab 764 0.00 0
158 American Option Price using Explicit Euler Finite Difference Method Matlab 2423 0.00 0

Java Files
Rank Title Category Hits Rating Vote
1 Open Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX Java 296 0.00 0
2 Complex event processing in High frequency finance by Esper Java 182 0.00 0
3 Analytic Vanilla pricers for Bates Model Java 280 9.00 2
4 ojAlgo: Maths and Optimisation for Finance Java 353 10.00 1
5 Black-Litterman model Java 1659 0.00 0
6 Monte Carlo Pricers in Java Java 1538 0.00 0
7 Project Martingale Java 830 0.00 0

Quantlib Files
Rank Title Category Hits Rating Vote
1 Quantlib examples by Edouard Tallent Quantlib 658 0.00 0
2 Swaption Price in Hull White using Quantlib 0.9 Quantlib 763 0.00 0
3 Forward rate dynamics demo for Short rate Models Quantlib 416 0.00 0
4 Showing graphs in Quantlib Quantlib 301 0.00 0
5 Forward bond price in Hull White Model Quantlib 641 0.00 0
6 Bond Option pricing in Hull White Model Quantlib 766 0.00 0
7 Bermudan swaption pricing in Hull White model Quantlib 1396 0.00 0
8 Pricing an inarrear swap - Quantlib code snippet Quantlib 385 0.00 0
9 Use Quantlib to get Fair Swap Rate in Vasicek Model Quantlib 406 0.00 0
10 Bond Option Pricing in Vasicek Model Quantlib 688 0.00 0
11 Analytical Heston Price in Excel with Quantlib server Quantlib 751 2.00 1
12 Call price in Heston model with MC Quantlib 1154 0.00 0
13 Swaption pricing in Hull White Model using Trinomial Tree Quantlib 2208 0.00 0
14 European Swaption Pricing in HullWhite using Jamshidian Engine Quantlib 970 0.00 0

R Files
Rank Title Category Hits Rating Vote
1 Bootstrapping TSY Yield Curve R 458 0.00 0
2 Code snippet to price a vanilla option in R R 151 0.00 0
3 Beautiful Pairs trading code in R by Paul Teetor R 679 10.00 1
4 Binomial trees with R R 1120 10.00 1
5 Scripts for Modeling Financial Time Series with S-PLUS R 1180 0.00 0
6 CRAN Task View: Empirical Finance R 665 0.00 0
7 RQuantLib: R interface to the QuantLib library R 611 0.00 0

SPlus Files
Rank Title Category Hits Rating Vote
1 High Frequency Finance FX Library SPlus 509 0.00 0
2 Allan Variance SPlus 448 0.00 0

SAS Files
Rank Title Category Hits Rating Vote
1 Gibbs Estimation of Microstructure Models SAS 635 0.00 0

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