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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 782 0.00 0
2 Yahoo Finance Pairs finder .NET 1110 0.00 0
3 Pairs trading application in C# .NET 1476 0.00 0
4 Johansen Cointegration test for stocks in yahoo finance .NET 905 0.00 0
5 Triplets finder application .NET 442 0.00 0
6 High Performance charting library in C# WPF .NET 580 0.00 0
7 GSL binaries to use in C# code for 32 bit .NET 517 0.00 0
8 GSL binaries to use in C# code for 64 bit .NET 304 0.00 0
9 ClickOnce deployment of a Pairs Trading application .NET 658 0.00 0
10 Pairs trade finder from Yahoo Finance in C# .NET 866 0.00 0
11 Online Yahoo Quotes to MySQL Database Downloader application .NET 396 0.00 0
12 ADF testing application in C# .NET 563 0.00 0
13 Multi regression with Standard Errors in C# using GSL .NET 282 0.00 0
14 Matrix Transpose in C# using GSL .NET 273 0.00 0
15 Multi Parameter Linear Regression in C# using GSL .NET 267 0.00 0
16 Matrix Inverse in C# using GSL .NET 364 0.00 0
17 Matrix Multiplication in C# using GSL .NET 249 0.00 0
18 OLS Linear regression in C# .NET 297 0.00 0
19 Exponential ACD model fitting using GSL in C# .NET 471 0.00 0
20 Tutorial code to use GSL in C# and generate random numbers .NET 355 0.00 0
21 Tradelink - The #1 opensource for Quantitative Trading .NET 650 0.00 0
22 Using Ta-Lib and WPF to calculate MACD Histogram .NET 1088 0.00 0
23 Fairmat Modeling platform for derivatives pricing .NET 394 0.00 0
24 Option Pricing using the Binomial Tree Model in C# .NET 2188 0.00 0
25 American Option Pricing in Variance Gamma using Finite Difference .NET 1698 0.00 0

Mathematica Files
Rank Title Category Hits Rating Vote
1 Binomial tree for Ho Lee interest rate model Mathematica 2675 0.00 0
2 Pricing Asian Options by Contour Integration Mathematica 760 0.00 0
3 Credit derivatives pricing in HJM term structure Mathematica 1509 0.00 0

Excel Files
Rank Title Category Hits Rating Vote
1 Mersenne Twister VBA Class Excel 1648 10.00 2
2 US Recession prediction Excel 1150 10.00 1
3 Excel Options monitor and strategy analyzer using Google Finance as data source Excel 3463 10.00 1
4 Option price using Binomial tree with discrete dividends Excel 1206 0.00 0
5 Anthony's super cool site for Excel Finance tutorials Excel 1847 0.00 0
6 Cointegration analysis using Johansen procedure Excel 9001 0.00 0
7 SVD Singular Value Decomposition of a matrix in Excel Excel 3987 0.00 0
8 Augmented Dickey Fuller Test (ADF) in Excel VBA Excel 5831 7.00 3
9 Leisen & Reimer Binomial Tree Excel 2573 8.00 2
10 Interest Rate Modeling by Kurt Hess Excel 1729 0.00 0
11 Identifying Real Options Excel 433 0.00 0
12 how to calculate conditional expectation Excel 663 0.00 0
13 European Call Pricing Excel 571 0.00 0
14 Understand Greeks Evolution Excel 666 0.00 0
15 BGM Excel 765 0.00 0
16 ADF Testing Excel 561 0.00 0
17 MACD - Spreadsheet to calculate profit from trading startegy using MACD Excel 1677 0.00 0
18 Python For Excel Excel 678 0.00 0
19 Time Series Excel files of Professor Ser-Huang Poon Excel 1640 0.00 0
20 Excel Add-In (inspired by "Financial Numerical Recipes in C++") Excel 3025 10.00 1
21 Binomial Tree Plotting or display in Excel with multi node values Excel 1285 0.00 0
22 Generating Random variables from exponential distribution in Excel Excel 958 0.00 0
23 Vector Autoregression (VAR) in Excel Excel 4880 10.00 1
24 Hull White model calibration using Levenberg Marquardt Excel 4381 0.00 0
25 Example of using Levenberg Marquardt for Parameters calibration in Excel Excel 2648 10.00 1
26 Levenberg Marquardt in Excel Excel 3543 0.00 0
27 Solving equations or multi dimensional root finding in Excel Excel 868 0.00 0
28 Fastest Pikaia Genetic Optimization Algorithm in VBA Excel 855 0.00 0
29 Large Collection of Math and Quant Finance Algorithms Excel 2194 10.00 2
30 DO NOT DOWNLOAD - Caplet Pricing in single factor Libor market model Excel 1849 0.00 0
31 Caplet Pricing by Monte Carlo simulation in Libor market model Excel 3229 0.00 0
32 Tutorial on using Galerkin to solve ODE Excel 470 0.00 0
33 Dynamic Asset Allocation Strategies (for Prop Trading and Hedge Funds) Excel 4163 10.00 3
34 Asian option price using binomial tree Excel 3565 0.00 0
35 Portfolio Optimization using Markowitz Model Excel 7778 0.00 0
36 Bootstrapping Yield Curve Excel 6737 10.00 1
37 Function Minimization using Nelder Mead Simplex Excel 2397 9.00 2
38 Local volatility tree Excel 1475 0.00 0
39 Option Price using CRR Rubinstein Binomial tree Excel 3896 0.00 0
40 Binomial Tree display in Excel Excel 1026 0.00 0
41 Online Viewer for Stock returns distribution - is lognormal assumption true? Excel 892 0.00 0
42 Stock History Prices Downloader Excel 1225 0.00 0
43 Integral of a function in Excel Excel 979 0.00 0
44 Generating multivariate normal random numbers in VBA Excel 1874 0.00 0
45 Cholesky Decomposition of a Matrix Excel 4458 0.00 0
46 Matrix multiplication in VBA Excel 1403 0.00 0
47 CMS rate with Hull's convexity and Timing adjustment Excel 1405 0.00 0
48 Constant Maturity Swap Rate with Monte Carlo simulation Excel 1842 0.00 0
49 Swaption pricing in Hull White using Swap Rate in MC simulation Excel 1823 0.00 0
50 Swaption Price in Hull White using Fixed leg PV in MC simulation Excel 902 0.00 0
51 Black 76 Formula in VBA Excel 1731 0.00 0
52 Variance, Mean, Min, Max, Covariance, Correlation in VBA Excel 2572 8.00 1
53 Bond Option price in HJM model using Non recombining tree Excel 1668 0.00 0
54 American option price using Penalty method Excel 938 0.00 0
55 American option price using Brennan Schwartz Excel 1589 0.00 0
56 Asian Option price using Monte carlo simulation Excel 4147 5.00 2
57 European option price using Monte carlo simulation Excel 2518 0.00 0
58 Analytical bond and bond option price for Hull White model Excel 1924 0.00 0
59 Bond Option pricing in Hull White using Monte Carlo simulaltion Excel 3490 0.00 0
60 Blundell/Ward filter Excel 672 10.00 1
61 Bond Option price in vasicek using direct forward rate simulation Excel 814 0.00 0
62 Bond option price in Vasicek model with Affine transformation Excel 706 0.00 0
63 Vasicek Bond Option pricing using Forward Measure Excel 759 0.00 0
64 Eigen value decomposition with sorting Excel 1498 0.00 0
65 Matrix division in VBA Excel 595 0.00 0
66 Nelder Mead Simplex method tutorial Excel 3413 10.00 1
67 Heston Option prices using Monte carlo simulation Excel 2213 0.00 0
68 Bilinear interpolation function in VBA Excel 2334 0.00 0
69 Caplet pricing using Black's formula Excel 2207 0.00 0
70 Real Option spreadhseets by Aswath Damodaran Excel 2504 0.00 0
71 CreditCurve_Bootstrapping from CDS spreads Excel 4329 9.00 4
72 Unit root testing demo using Augmented Dickey fuller test Excel 3668 0.00 0
73 Standard error for coefficients in OLS Least Sqaures Regression in VBA Excel 949 0.00 0
74 Demo for understanding the intuiton of Dickey fuller Critical Values Excel 1127 0.00 0
75 Empirical distribution PDF and CDF with Epanechnikov kernel smoothing Excel 1261 0.00 0
76 Swap Fair rate using Basis Point Sensitivity Excel 829 0.00 0
77 Regress now or later : Longstaff Schwartz vs. Glasserman Yu comparision Excel 1088 9.00 1
78 American Option price using "Regress Later" by Glasserman and Yu Excel 1268 0.00 0
79 Optimal Exercise Frontier for Longstaff & Schwartz Excel 1146 0.00 0
80 Optimal Exercise Policy Analysis for Longstaff & Schwartz Excel 709 0.00 0
81 American Option pricing by Longstaff and schwartz Least Squares without MS Addin Excel 2654 0.00 0
82 OLS - Ordinary Least Squares without Microsoft Addins Excel 1877 6.00 1
83 Bond Option Pricing Using T-Forward Measure Excel 829 0.00 0
84 Swaption valuation using Jamshidian Trick Excel 1551 0.00 0
85 Swaption Pricing in Vasicek Model using Simulation Excel 1931 0.00 0
86 Interest Rate Derivative Bond Option Valuation by Joint Simulation Excel 845 6.00 1
87 Fair Swap Rate in Vasicek Model Excel 1076 0.00 0
88 Finance VBA code at vbnumericalmethods Excel 5056 0.00 0
89 Excel spreadhseet for Bond Option Price in CoxIngersoll Ross CIR Excel 1427 0.00 0
90 Vasicek Bond Option pricing using Euler discretization Excel 893 0.00 0
91 Vasicek Bond Option pricing using Exact discretization Excel 691 0.00 0
92 Excel Spreadhseet for Bond Option Price in Vasicek Model Excel 2531 0.00 0
93 Vasicek Dynamics in Excel Excel 1002 0.00 0
94 Implied Binomial Trees in Excel without VBA Excel 2412 0.00 0
95 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 1788 9.00 3
96 Single Tranche Synthetic CDO in Excel- Homogenous Case Excel 981 0.00 0
97 Bootstrap Forward rate vols from Caplet Volatilities Excel 2156 0.00 0
98 Efficient Frontiers via the Mean Variance Optimization Method Excel 4293 0.00 0
99 Implicit finite difference method Excel 2643 10.00 1
100 Linear Interpolation Excel 5583 10.00 1
101 Heston Call Option Price using Monte Carlo Excel 5821 7.00 3
102 Brent method for root finding Excel 1763 0.00 0
103 Random Variables with Box Muller Excel 2314 0.00 0
104 Quanto Option Pricing Excel 3285 0.00 0
105 Principal Component Analysis PCA Excel 12395 9.00 5
106 European Swaption Pricing in HullWhite using Trinomial Tree Excel 2335 0.00 0
107 Partial Derivatives Jacobian Matrix Excel 879 0.00 0
108 Bermudan Swaption Pricing on Trinomial Tree Excel 4921 0.00 0
109 Constant Maturity Swap Pricing with Convexity adjustment Excel 6013 0.00 0
110 Volatilty swap pricing in Heston Model Excel 2324 0.00 0
111 Gaussian, Student ,Clayton, Frank and Gumbel copulas Excel 6727 9.00 2
112 Find Matrix Inverse Excel 3181 0.00 0
113 Matrix display utility functions Excel 808 0.00 0
114 European Option price in VG model using Finite difference Excel 1413 0.00 0
115 Spreadheets for Math Finance book Excel 2391 0.00 0
116 Exponential integral function in VBA Excel 3070 6.00 2
117 Solve Tridiagonal system of equations Excel 1257 0.00 0
118 Black Litterman Implied Returns Excel 5132 0.00 0
119 Implied Volatility Surface Excel 10424 7.00 2
120 Portfolio optimization with Binomial model Excel 1211 0.00 0
121 Pricing of callable bond on Lattice Excel 2598 0.00 0
122 Bond duration Excel 2810 0.00 0
123 VBA code for 2 factor CIR Excel 2569 0.00 0
124 Tutorial on Yield curve and analysis Excel 2896 0.00 0
125 Implementation of Hull-White's No-Arbitrage Term Structure Model Excel 3283 0.00 0
126 Yield Curve Paremeterization using NS Excel 3383 7.00 2
127 Monte carlo Integration for Option pricing Excel 1596 0.00 0
128 Explicit finite difference Excel 2057 0.00 0
129 Quasi Monte Carlo in Excel Excel 2787 0.00 0
130 Math VBA code at vbnumericalmethods Excel 1862 0.00 0
131 Thomas Lee Financial Library Excel 3063 8.00 2
132 Non-recombining tree for HJM Excel 2073 0.00 0
133 2 factor Trinomial tree for default intensity Excel 3216 0.00 0
134 Tutorial on passing Arrays in Excel & VB script Excel 1894 0.00 0
135 Matrix Sorting in VBA Excel 1789 7.00 1
136 Excel C++ Event Management demo Excel 937 1.00 1
137 C++ Excel integration Helper Excel 1943 0.00 0
138 Black Karasinki Model Excel 2076 0.00 0
139 Leisen-Reimer tree,Heston and other Apps Excel 1545 0.00 0
140 GARCH code in Excel Excel 13783 8.00 2
141 European option price using Finite Element Method Excel 1583 0.00 0
142 American Option Pricing using Random Tree Excel 2805 10.00 1

C++ Files
Rank Title Category Hits Rating Vote
1 Public Sector Credit Framework - Open Source C++ 315 0.00 0
2 GSL 1.8 / 1.14 for Visual C++ express C++ 984 0.00 0
3 Windows / Linux / Unix Real-time Options Calculator C++ 661 8.00 2
4 Example/Tutorial code for QuickFix C++ 1091 0.00 0
5 Dr. Fabrice Rouah's Volopta - an excellent finance code bank C++ 1430 0.00 0
6 Exponential ACD model fitting using GSL in C++ C++ 338 0.00 0
7 Garch Fitting by Maximum Likelihood Estimation (MLE) C++ 3056 0.00 0
8 Tutorial code for using GSL to generate random numbers C++ 324 0.00 0
9 Meta Systems library C++ 843 8.00 1
10 Pricing Barrier Options with Lattices C++ 492 0.00 0
11 SVM and fast incremental algorithms by sofia C++ 316 0.00 0
12 Binomial pricing Tree C++ 809 0.00 0
13 MonteCarlo (Stochastic Volatility) Generic Pricer for Baskets/Worst of Structures C++ 690 0.00 0
14 Heston calibration using Adaptive simulated annealing C++ 1043 10.00 1
15 Heston call price using analytical formula C++ 929 0.00 0
16 Integral of a function in C C++ 510 0.00 0
17 Demo for minimizing function with Adaptive Simulated Annealing (ASA) C++ 527 0.00 0
18 Asian option price using Alternating Direction Implicit (ADI) C++ 959 0.00 0
19 American option price using Andersen's method C++ 1141 0.00 0
20 Asian Option Price using 2D Finite Difference Method C++ 1660 0.00 0
21 Calibration of transition probability matrix using levmar C++ 1270 0.00 0
22 Tutorial for using MINPACK's C version of Levenberg Marquardt optimizer C++ 860 0.00 0
23 Levenberg-Marquardt for Visual C++ 2005 C++ 1244 0.00 0
24 Heston pricing using finite difference method C++ 1228 0.00 0
25 Bilinear interpolation function for GSL C++ 918 0.00 0
26 Schematic sample code of a three-dimensional operator split method for Heston Model C++ 808 0.00 0
27 Code for basket option, call option using Heston model C++ 1802 0.00 0
28 CDO Pricing by probability bucketing C++ 1041 0.00 0
29 CDO pricing without Monte carlo simulation C++ 1779 8.00 1
30 Basket default Swap Pricing C++ 966 0.00 0
31 CDO Pricing in Gaussian Copula C++ 2358 0.00 0
32 nth to Defaults CDS without Monte Carlo Simulation C++ 1110 0.00 0
33 Terreneuve-devel Project C++ 591 0.00 0
34 Swaption pricing in Libor Market Model(LMM) C++ 4663 0.00 0
35 Hodrick Prescott Filter C++ 1002 7.00 2
36 Trinomial Tree Class C++ 1503 0.00 0
37 C++ Financial Algoritms (Financial Numerical Recipes) C++ 8364 8.00 1
38 Asian Option Price using German Yor's approach C++ 734 0.00 0
39 Hypergeomtric and Gamma Functions for all complex inputs C++ 482 0.00 0
40 CDO Square Loss distribution using Gaussian Copula C++ 1706 0.00 0
41 CDO tranche spreads using GSL C++ 942 0.00 0
42 American Option Pricing in VG model using Finite Difference C++ 1799 10.00 1
43 Fast greeks by simulation in forward LIBOR models C++ 901 0.00 0
44 Trinomial Tree implementation of Hull-White model C++ 2168 0.00 0
45 American Call spread using Andersen's method C++ 1422 0.00 0
46 LMM in GSL with Predictor-Corrector C++ 903 0.00 0
47 Call Option Price using FFTW C++ 1188 0.00 0
48 Levenberg-Marquardt nonlinear least squares algorithms in C/C++ C++ 2607 0.00 0
49 GNU Scientific Library C++ 999 8.00 1
50 Heston Monte Carlo C++ 2010 0.00 0
51 NewMat C++ Matrix Library C++ 1316 8.00 1
52 Quantlib C++ 1202 9.00 2

Matlab Files
Rank Title Category Hits Rating Vote
1 Code Financial Modelling Matlab 714 0.00 0
2 Binomial option pricing formula Matlab 2173 4.00 1
3 European knock out call option with a barrier Sb Matlab 585 0.00 0
4 Monte Carlo matlab code of a good student Matlab 1358 0.00 0
5 Finite difference vs pathwise derivative for finding option delta using MC simulation Matlab 663 0.00 0
6 Tutorial code on Log likelihood function of Exponential ACD model Matlab 459 0.00 0
7 Tutorial code for simulating from Weibull ACD model Matlab 422 0.00 0
8 Exponential Autoregressive Conditonal Duration (ACD) model simulation Matlab 477 0.00 0
9 Tutorial code on Maximum drawdown calculation Matlab 515 0.00 0
10 Trading with Matlab Matlab 811 0.00 0
11 european option pricing by using equal jump size method Matlab 398 0.00 0
12 efficient frontier Matlab 630 0.00 0
13 Calculate probability of default from CDS spread Matlab 1276 0.00 0
14 pricing floating strike lookback options Matlab 664 0.00 0
15 Minimum Variance Portfolio Matlab 1095 0.00 0
16 Margrabe Formula for Exchange options Matlab 492 0.00 0
17 Andrew Patton's Copula toolbox for Matlab Matlab 2462 0.00 0
18 Pricing Fixed Strike Lookback using Cozy and Viswanathan analytical formula Matlab 349 0.00 0
19 Demo of using Importance sampling in pricing of a Plain Vanilla Option Matlab 770 0.00 0
20 Matlab website of Eric JONDEAU & Michael ROCKINGER Matlab 681 9.00 1
21 BAW American Option Pricer (Matlab) Matlab 584 0.00 0
22 Monte Carlo pricing of Down-out Call Barrier option Matlab 1090 0.00 0
23 Quanto Option Matlab 647 0.00 0
24 Matlab Code: "Correlation expansions for CDO pricing" Matlab 682 10.00 1
25 Asian American Option using Least Square monte carlo Matlab 3301 0.00 0
26 Asian Option Price using Monte Carlo simulation Matlab 2656 0.00 0
27 Example of Control Variate technique for call option price Matlab 827 0.00 0
28 Call Option price using Monte carlo simulation Matlab 1378 0.00 0
29 Fredholm integral equation solution by Galerkin Method Matlab 631 0.00 0
30 Tutorial on Fredholm integral equation Matlab 481 0.00 0
31 Tutorial on Principal Component analysis of Wiener process Matlab 654 0.00 0
32 Demo on using Galerkin for solving ODE Matlab 314 0.00 0
33 Demo Tutorial on Karhunen Loeve expansion of Wiener Matlab 672 0.00 0
34 Demo/Tutorial on implied volatility vs Local volatility Matlab 936 0.00 0
35 Swaplet pricing in LMM using MC simulation Matlab 841 0.00 0
36 Piterbarg's paper - calculate effective volatility of volatility Matlab 553 0.00 0
37 Piterbarg's paper - calibration of instantaneous skew Matlab 572 0.00 0
38 Implementing Piterbarg's paper - effective skew calculation Matlab 514 0.00 0
39 Option price by Monte carlo simulation in SABR model Matlab 2183 0.00 0
40 Local volatility to implied volatility using perturbation Matlab 696 0.00 0
41 Option price in SABR using analytical formula Matlab 861 0.00 0
42 Demo for how a local volatility model predicts wrong dynamics of implied volatility Matlab 640 0.00 0
43 Create implied volatility smile Matlab 1193 0.00 0
44 Local volatility surface Matlab 1143 0.00 0
45 Demo/Tutorial on how local volatility is used in monte carlo simulations Matlab 1516 0.00 0
46 Implied Volatility Matlab 944 0.00 0
47 Black Scholes option price Matlab 916 0.00 0
48 Demo/Tutorial on dynamics of SABR model Matlab 757 0.00 0
49 SABR model calibration Matlab 5235 10.00 2
50 Tutorial on local volatility Matlab 668 0.00 0
51 Strike Adjusted Spread Matlab 825 0.00 0
52 Fast Scatter plot for Octave Matlab 1049 8.00 1
53 Tutorial Demo on Cross Entropy minimization (II) Matlab 442 0.00 0
54 Tutorial Demo on Cross Entropy minimization (I) Matlab 819 0.00 0
55 Barrier option price using Explicit Finite difference method Matlab 1250 0.00 0
56 Barrier option price using Crank Nicholson Finite difference method Matlab 1345 7.00 1
57 Barrier option price using Implicit Finite difference method Matlab 871 0.00 0
58 Barrier option using Finite difference methods Matlab 949 0.00 0
59 Constant Maturity Swap Rates with Hull's convexity adjustment Matlab 612 0.00 0
60 Static Replication Methods for Vanilla Barrier Options Matlab 1758 0.00 0
61 Estimate Historical Volatility - by TradingwithMatlab Matlab 1111 0.00 0
62 Forward bond price in Hull White Model Matlab 734 0.00 0
63 Hull White Monte Carlo simulation Matlab 4086 0.00 0
64 Tutorial on dynamics of constant maturity swap rate Matlab 783 0.00 0
65 Vasicek model estimation using Kalman filter Matlab 3334 2.00 1
66 Tutorial and code for Constrained function minimization Matlab 771 0.00 0
67 Beta process estimation for GM vs DJI index using Kalman Filter Matlab 1024 0.00 0
68 Maximum Likelihood estimation with Kalman Filter Matlab 1948 0.00 0
69 Demo for forecasting by Kalman filter Matlab 1823 0.00 0
70 Tutorial on convexity adjustment for volatility and maturity changes Matlab 884 0.00 0
71 Tutorial for optimal weight matrix in Generalized method of Moments Matlab 868 0.00 0
72 Tutorial on Generalized Method of Moments (GMM) Matlab 3098 0.00 0
73 Tutorial on Maximum Likelihood estimation Matlab 6365 0.00 0
74 Successive Over Relaxation demo for American put Matlab 652 0.00 0
75 Libor Market Model Matlab 6823 0.00 0
76 Heston Model Matlab 6956 0.00 0
77 Finite Difference Methods for American Option Matlab 2951 6.00 1
78 Implicit vs Crank Nicholson vs Explicit Finite difference methods Matlab 3047 0.00 0
79 Derman Kani Implied Binomial Tree Matlab 1596 10.00 1
80 Barrier Option pricing using Finite Difference Matlab 1518 0.00 0
81 Barrier Option Pricing using Static Replication Matlab 1027 0.00 0
82 Quanto differential swap pricing Matlab 559 0.00 0
83 Convertible bond on Tsiveriotis Fernandes Binomial Tree Matlab 1925 0.00 0
84 CDO Pricing Using Gaussian Copulas in Matlab Matlab 4425 0.00 0
85 Heston Nandi Garch simulation Matlab 1873 0.00 0
86 Empirical distribution Pdf and Cdf curves Matlab 2282 0.00 0
87 Brownian Bridge Matlab 2574 0.00 0
88 Classical Pairs Trading Matlab 1812 0.00 0
89 Bond Option price for two-factor Vasicek (G2++) modell Matlab 2004 0.00 0
90 Jackknifing Bond Option Prices and two factor CIR Matlab 1300 0.00 0
91 Jamshidian Decompostion for Swaptions Matlab 1254 0.00 0
92 Inflation Indexed Convertible Bond Pricing using Binomial Tree Matlab 1265 9.00 1
93 Nearest Correlation matrix using Hypersphere Decomposition Matlab 1293 0.00 0
94 Option pricing in Variance Gamms model by Fourier Integration Matlab 893 0.00 0
95 Bond pricing in CIR and Vasicek models using Riccati solution Matlab 2334 0.00 0
96 Plain Vanilla European Call Price using Monte Carlo Simulation Matlab 1943 0.00 0
97 Option pricing with Edgeworth density based Monte carlo simulations Matlab 865 0.00 0
98 Vanilla Option pricing in Variance Gamma model using Monte Carlo simulation (II) Matlab 1983 0.00 0
99 Pricing of nth to Defaults CDS without Monte Carlo Simulation - Mthod II Matlab 1498 0.00 0
100 Pricing nth to Defaults CDS with Monte Carlo Simulation Matlab 1831 0.00 0
101 Credit Default Swap Pricing Matlab 3275 0.00 0
102 Plot Forward Rate Dynamics Hull White Model Matlab 1016 0.00 0
103 Bond Option Price in Hull White Model Matlab 1529 0.00 0
104 Variance Swap Pricing Matlab 3214 0.00 0
105 Homework Problem for Swaption Pricing Code Matlab 1440 0.00 0
106 Black Litterman model in Matlab Matlab 5179 0.00 0
107 HW Problems and Code Solution for BDT calibration Matlab 1161 0.00 0
108 Nokia Call Option pricing in Stochastic interest rates Matlab 819 0.00 0
109 Efiicient frontier plot for Markowitz portfolio Matlab 2841 9.00 1
110 Beta estimation using Kalman Filter Matlab 2358 0.00 0
111 Lewis regularization method for VG Options Matlab 759 0.00 0
112 nth to Defaults CDS without Monte Carlo Simulation - Method I Matlab 1079 0.00 0
113 Computer Simulations and Risk Assessment Matlab 1275 0.00 0
114 Simulation of SDEs Matlab 1222 7.00 1
115 VGSI method for illiquid market Matlab 666 0.00 0
116 American Option in VG model using LSM Matlab 1381 0.00 0
117 Call Options price in VG model using Analytical Formulas Matlab 1552 0.00 0
118 Efficient frontier for portfolio Matlab 3554 0.00 0
119 Barrier Options Pricing Matlab 3336 0.00 0
120 Local vs. Dupire in Excel and Matlab Matlab 1906 0.00 0
121 Credit Ratings Migration Matlab 856 0.00 0
122 Review and synthesis of bond pricing models, including CIR, HJM, many others Matlab 1412 0.00 0
123 Characteristic Function and Regime Switching Models Matlab 2194 0.00 0
124 Random numbers generation from 50+ distributions Matlab 1013 0.00 0
125 Asian Option Price using PDE Matlab 1533 0.00 0
126 Alternating Direction Implicit (ADI) Matlab 2952 0.00 0
127 Solve the PIDE arising from a jump diffusion model Matlab 1712 0.00 0
128 CDO Tranche Pricing using T copula Matlab 2960 0.00 0
129 Solving Nonlinear Equations with Newton's Method Matlab 3949 0.00 0
130 Implicit Finite Difference Method Matlab 2394 6.00 1
131 Global Derivatives Matlab Code Matlab 2284 0.00 0
132 Matlab program files for Stochastic Differential Equations Matlab 2125 8.00 1
133 Financial modelling and analysis Matlab 2254 0.00 0
134 BDT model Matlab 1794 0.00 0
135 Maximum Likelihood estimation using Kalman filter Matlab 2442 0.00 0
136 MLE estimation for multivariate normal distribution Matlab 2296 0.00 0
137 Kalman filter demo Matlab 1267 0.00 0
138 Anderson's Method for American Put Matlab 692 0.00 0
139 LMM with refined variance scheme Matlab 905 0.00 0
140 LFM approximation Matlab 1911 0.00 0
141 American Spread Option Price using LSM Matlab 1808 0.00 0
142 Basket CDS pricing using Copula Matlab 2802 1.00 1
143 Aggregation of Correlation risk Matlab 1412 0.00 0
144 Characteristic function of bivariate GBM Matlab 735 0.00 0
145 Trading using SVM Matlab 1450 0.00 0
146 Linking Caplet Volatilties in BGM Matlab 1407 0.00 0
147 VG Option pricing in MC Matlab 1124 0.00 0
148 VG option price using FFT Matlab 1448 0.00 0
149 Spread Option using Three Dimensional Binomial Tree Matlab 1351 8.00 1
150 Option Quote using Static Hedging Matlab 646 0.00 0
151 LSM Monte Carlo for American Options Pricing Matlab 4433 9.00 2
152 FFT Option price using Characteristic function Matlab 2671 3.00 2
153 FFT Option Price Using Binomial tree Matlab 1051 0.00 0
154 Discrete Barrier Options Pricing implementation Matlab 1143 0.00 0
155 CRR Binomial tree Matlab 1868 0.00 0
156 Black Scholes Price & Greeks Matlab 4616 1.00 1
157 Bjerksund Stensland Approximation for American Option Matlab 1650 0.00 0
158 Asian Option with Gamma bridge Matlab 877 0.00 0
159 American Option Price using Explicit Euler Finite Difference Method Matlab 2836 0.00 0

Java Files
Rank Title Category Hits Rating Vote
1 Quantitative Finance Library for Java by Idylwood Technologies Java 30 0.00 0
2 ActiveQuant Java 141 0.00 0
3 Open Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX Java 584 0.00 0
4 Complex event processing in High frequency finance by Esper Java 335 0.00 0
5 Analytic Vanilla pricers for Bates Model Java 397 9.00 2
6 ojAlgo: Maths and Optimisation for Finance Java 471 10.00 1
7 Black-Litterman model Java 1920 0.00 0
8 Monte Carlo Pricers in Java Java 1736 0.00 0
9 Project Martingale Java 994 0.00 0

Quantlib Files
Rank Title Category Hits Rating Vote
1 Quantlib examples by Edouard Tallent Quantlib 1294 0.00 0
2 Swaption Price in Hull White using Quantlib 0.9 Quantlib 1068 0.00 0
3 Forward rate dynamics demo for Short rate Models Quantlib 583 0.00 0
4 Showing graphs in Quantlib Quantlib 428 0.00 0
5 Forward bond price in Hull White Model Quantlib 836 0.00 0
6 Bond Option pricing in Hull White Model Quantlib 964 0.00 0
7 Bermudan swaption pricing in Hull White model Quantlib 1722 0.00 0
8 Pricing an inarrear swap - Quantlib code snippet Quantlib 476 0.00 0
9 Use Quantlib to get Fair Swap Rate in Vasicek Model Quantlib 503 0.00 0
10 Bond Option Pricing in Vasicek Model Quantlib 884 0.00 0
11 Analytical Heston Price in Excel with Quantlib server Quantlib 870 2.00 1
12 Call price in Heston model with MC Quantlib 1341 0.00 0
13 Swaption pricing in Hull White Model using Trinomial Tree Quantlib 2553 0.00 0
14 European Swaption Pricing in HullWhite using Jamshidian Engine Quantlib 1147 0.00 0

R Files
Rank Title Category Hits Rating Vote
1 Bootstrapping TSY Yield Curve R 885 0.00 0
2 Code snippet to price a vanilla option in R R 255 0.00 0
3 Beautiful Pairs trading code in R by Paul Teetor R 1575 10.00 1
4 Binomial trees with R R 1322 10.00 1
5 Scripts for Modeling Financial Time Series with S-PLUS R 1355 0.00 0
6 CRAN Task View: Empirical Finance R 767 0.00 0
7 RQuantLib: R interface to the QuantLib library R 718 0.00 0

SPlus Files
Rank Title Category Hits Rating Vote
1 High Frequency Finance FX Library SPlus 619 0.00 0
2 Allan Variance SPlus 545 0.00 0

SAS Files
Rank Title Category Hits Rating Vote
1 Gibbs Estimation of Microstructure Models SAS 785 0.00 0

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