| Section | FileName | Time |
|---|---|---|
| Software | Finite Difference Methods for American Option | 2013/2/10 |
| some of this code does not work!!! | ||
| Software | Yield Curve Paremeterization using NS | 2013/2/1 |
| If I change in market data, tau and actual market yield, i won't get fitting error sum equal to zero using Solver function. | ||
| Software | Gaussian, Student ,Clayton, Frank and Gumbel copulas | 2013/1/30 |
| How do I change the mean and stdev of the simulated copulas? Is there a way to adjust skewness and kurtosis of the student-t copula? | ||
| Software | Asian option price using binomial tree | 2013/1/30 |
| Can you send me a copy of the paper? I would greatly appreciate it. moniqueberlee@gmail.com | ||
| Software | LSM Monte Carlo for American Options Pricing | 2013/1/28 |
| I want the program of LSM for american put option pricing. thanks | ||
| FAQ | Code Request Page | 2013/1/24 |
| Hi, I am looking for matlab code of how to calculate the price of a capital protected structured note with a call option. email: mzhkust@gmail.com | ||
| Papers | Pairs Trading with Robust Correlation - thesis by Jieren Wang | 2013/1/22 |
| hey jieren can i take a loook at your dissertation, as i'm doing one on the same topic almost.. would be great if you would be able to share your previous research. best regards paulhonein@gmail.com | ||
| Software | Example of using Levenberg Marquardt for Parameters calibration in Excel | 2013/1/21 |
| I altered the function to the following form: a * x^b + c The LM algorithm predicts the correct parameters if b<2 but breaks down if b>2. Why is this and how can this be fixed? Thanks :) | ||
| Software | Asian Option Price using 2D Finite Difference Method | 2013/1/13 |
| Hi. I need the code in matlab to simulate the price of an asian option with implicit or explicit scheme... Can you help me please and give me the rest of the code? thanks a lot | ||
| Software | Nelder Mead Simplex method tutorial | 2013/1/12 |
| do u have the code to demonstrate this ?????? if so can u mail me to dhivyaidhaya@gmail.com | ||
| Software | Vector Autoregression (VAR) in Excel | 2013/1/4 |
| I want to understand the file in detail. When u say variable 1, it means say stock/index1 , variable 2 means stock/index2 so on and so forth. Is my understanding correct ? Also want to see the code running in this sheet - How do I see that ? Pl. guide. | ||
| Software | Pairs trading application in C# | 2013/1/3 |
| I have win7 64bit and installed visual studio 8 48 errors most of them "type or namespace name ___________could not be found(are you missing a using directive or an assembly reference?)" | ||
| FAQ | FAQs on Johansen's Cointegration test | 2013/1/2 |
| is the post incomplete | ||
| Software | Levenberg-Marquardt for Visual C++ 2005 | 2012/12/30 |
| Here we started with a cpmloex system, then we ignore the hard parts so the problem is amenable to a mathematical analysis, then we solve the simpler problem, then we pray that it's a reasonable approximation to the actual cases of the Swine Flu | ||
| Software | Heston Model | 2012/12/30 |
| I am really struggling on how to use MATLAB in heston model.Pls I need help. | ||
| Software | Matrix division in VBA | 2012/12/18 |
| hi azhang, can u please explain me how to use divide sub programme, I have a large programme where I need to calculate the division of two matrices, please help me. | ||
| Software | Code Financial Modelling | 2012/12/17 |
| Hi, thank you very much. I'd like to ask you if you have the code for the book "interest rate models Theory and Practise" by Damiano Brigo& Fabiio Mercurio | ||
| Software | Cointegration analysis using Johansen procedure | 2012/12/13 |
| how do i determine the significance of a variable used | ||
| Software | Convertible bond on Tsiveriotis Fernandes Binomial Tree | 2012/12/9 |
| Hello vanna, I would like to ask you pleasee a question about your code for bond option pricing (G2++). Is it possible to get your email or to contact me on crougeaux@hotmail.fr? Thank you Sincerely Christophe | ||
| Software | Function Minimization using Nelder Mead Simplex | 2012/12/4 |
| Can I know what algorithm you have used in the Nelder-Mead Simplex? | ||
| Software | Fast Scatter plot for Octave | 2012/11/27 |
| When I run this, it connects the dots with segments. Any way to turn that off? | ||
| Software | Vasicek model estimation using Kalman filter | 2012/11/20 |
| Hello I am stundet at HEC and I wonder if you kindley can send me the complete code at 11142559@hec.ca Thanks alot Suzy | ||
| FAQ | Code Request Page | 2012/11/20 |
| Hi, I would like to model the implied volatility distribution of Dupires (local volatility model) versus Black Scholes (implied volatility). How can I do that with the intention of comparison? mzhkust@gmail.com | ||
| FAQ | How do I use GSL on Visual C++ 2010 express? | 2012/11/19 |
| I am sorry but can someone provide step by step clear example for addin the GSl 1.15 to visual studio 2010. I have tried so many instruction that do not work. Please help | ||
| Papers | Pricing and Hedging Exotic Options with Monte Carlo Simulations | 2012/11/16 |
| WHERE ARE THE MONTE CARLO SIMULATION CODES? WHAT SOFTWARE WAS USED FOR THEIR IMPLEMENTATION! | ||
| FAQ | Code Request Page | 2012/11/15 |
| bayesian beta | ||
| Software | Augmented Dickey Fuller Test (ADF) in Excel VBA | 2012/11/10 |
| How to run the program in EVIEWS | ||
| Software | Cointegration analysis using Johansen procedure | 2012/11/4 |
| what is the johanson cointegration equation and its hypotheses for cointegration test | ||
| Software | Swaption pricing in Libor Market Model(LMM) | 2012/11/1 |
| Hi,
One quick question. In your code there is #include | ||
| FAQ | Code Request Page | 2012/10/29 |
| "incremental risk charge" | ||
| FAQ | How do we remove non-stationarity of a time series? | 2012/10/28 |
| I think "It is important that the we do not detrend a trend stationary process" should read "It is important that the we do not detrend a difference stationary process". | ||
| Software | Tutorial Demo on Cross Entropy minimization (I) | 2012/10/28 |
| how Can I download the code? | ||
| Software | SABR model calibration | 2012/10/21 |
| Where is the code to do minimization ( the one that corresponds to the sqp call) | ||
| Software | SABR model calibration | 2012/10/20 |
| This code refers to sqp function, where can i get this from? It's not part of std matlab package so do i need to download an additional pkg? | ||
| Software | Derman Kani Implied Binomial Tree | 2012/10/20 |
| This code refers to sqp function, where can i get this function from? Is this part of std matlab package or do i need to download an extra matlab package? Thanks, | ||
| Software | SABR model calibration | 2012/10/19 |
| This uses function sqp, where is this defined in the code? | ||
| Software | Vector Autoregression (VAR) in Excel | 2012/10/15 |
| How is it possible to generate the matrix of variance and covariance? | ||
| Software | Inflation Indexed Convertible Bond Pricing using Binomial Tree | 2012/10/14 |
| how can we simply code a bond price using binomial tree? | ||
| Software | Quantlib examples by Edouard Tallent | 2012/10/11 |
| Hi all, I tried the code here, but it returns "Compounding is not a namespace". Is there any funny mistake I got wrong here? I did not change even one word. A lot of thanks. | ||
| Software | Hull White model calibration using Levenberg Marquardt | 2012/10/11 |
| Do you a file explaining how the code works, in terms of order of modules, how input data should be structured and how the button works. Thank you for the code. My email address is thibza13@aol.com | ||
| Software | Hull White model calibration using Levenberg Marquardt | 2012/10/11 |
| DO you have a document explaining how the code works? That explains which module to read first, inserts data into excel, etc. Thanks for the code | ||
| FAQ | How do I get started with Fortran on Windows XP? | 2012/10/9 |
| best start ever. | ||
| Software | Vector Autoregression (VAR) in Excel | 2012/10/9 |
| Hi Vanne very interesting and useful your routine, I would like to ask you how can I do to report the variance-Covariance matrix, please let me know. I appreciate all help in this matter. My email is omv190@msn.com | ||
| Software | Beautiful Pairs trading code in R by Paul Teetor | 2012/9/29 |
| i just cant open, it always loading | ||
| Software | Dynamic Asset Allocation Strategies (for Prop Trading and Hedge Funds) | 2012/9/18 |
| hi can i ask your password please? e-mail: johyunsik0902@gmail.com thank you~! | ||
| Software | Libor Market Model | 2012/9/17 |
| Hi Anonymous! I am very interested in your solution for academic purposes. Is there any chance you will upload it for everyone to see? Thank you in advance. All the best, Morten | ||
| Software | Implied Volatility Surface | 2012/9/17 |
| SIR can i get the volatility surface of the Indian nse indes ^nsei | ||
| Software | Vector Autoregression (VAR) in Excel | 2012/9/10 |
| When I click on paper Vector Autoregression, the link is broken. could you fix it? Thank you | ||
| Software | Excel spreadhseet for Bond Option Price in CoxIngersoll Ross CIR | 2012/9/1 |
| There are better spreadsheets for bond option pricing at http://investexcel.net/1473/bond-options-excel/ | ||
| Software | Vector Autoregression (VAR) in Excel | 2012/8/30 |
| Link to paper Vector Autoregression is broken, could you fix it? I would like to understand the VBA code. Thank you. | ||
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