| Section | FileName | Time |
|---|---|---|
| FAQ | Code Request Page | 2012/5/12 |
| Hello, I am trying to implement a Kalman Filter- MLE approach in Matlab. I have written a code, but it gives a lot of errors: function[L] = kalmanFilter1(params) global Z; k=6; T = size(Z,2); n = size(Z,1); F=zeros(k,k); delta=ones(k,1); S=diag(delta); V=zeros( k, k, T); %Vm=zeros(k,k,T); xhat=zeros( k, T); %xhatm=zeros(k,T); %params A matrix beta1=params(1); beta2=params(2); beta3=params(3); beta4=params(4); beta5=params(5); gamma1=params(6); gamma2=params(7); gamma3=par... | ||
| Software | Demo of using Importance sampling in pricing of a Plain Vanilla Option | 2012/5/9 |
| i need a data set to apply importance sampling in option pricing | ||
| Software | Augmented Dickey Fuller Test (ADF) in Excel VBA | 2012/5/6 |
| When I input my time-series and click the "start test" button it always says "division through 0" what can I do? If I leave some of your data in it toghether with my series it works...Can you help me? | ||
| Software | CDO Pricing in Gaussian Copula | 2012/5/4 |
| hi vanna i need your some help .. i construct default correlation by copula approach .. please help me (Gaussian t Frank Clayton Gambel) i see your excel sheet but i need calculation not show graphically .. please i am waiting your response email address aliayaz18@live.com | ||
| FAQ | Code Request Page | 2012/5/3 |
| hey every one .I am doing my master thesis in volatility forecating but I have a problem. I want to calibrate heston model as discribed in the following articles but I really cant find any thing (any code or help). I am trying hard but I am not good at programming so its tough. Maybe u or any body else on this site help me with the co de ? thanks in advance:) http://www.wilmott.com/pdfs/040502_shu.pdf http://www.google.com/url?sa=t&rct=j&q=pricing s&p 500 index options with heston’s m... | ||
| Software | Bond Option pricing in Hull White using Monte Carlo simulaltion | 2012/4/27 |
| Hi Vanna, So great job. Thank you for your post. However, could you explain for me, at the end of the code, you use bondPrice0 = DiscountBond(Ft_, oMaturity, bMaturity) BtT = Bfn(oMaturity, bMaturity) tmp = bondPrice0 * Exp(BtT * r0) For i = 1 To nSumulations rt = Ert + std_rt * rndvars(i) PtT = tmp * Exp(-BtT * rt) payoffcall = P0t * Application.Max(PtT - strike_, 0) Next i I am wondering that why isn't PtT=DiscountBond(rt, oMaturity, bMaturity) directly with your sim... | ||
| Software | Johansen Cointegration test for stocks in yahoo finance | 2012/4/26 |
| I also would like an answer to the questions above? What lag should i enter and what does "Conclsion: No of cointegrating vectors is 0" mean? | ||
| Software | Pairs trading application in C# | 2012/4/26 |
| Please fix the 64bit problem! I am really looking forward to using this :) -Vanna you kick some ass! | ||
| Software | Example/Tutorial code for QuickFix | 2012/4/26 |
| Hi Vanna, I have successfully loaded the client-server application but when I run I get a list like the following 'not able to find' dll files error messages: 'qfserver.exe': Loaded 'C:\Windows\SysWOW64\ntdll.dll', Cannot find or open the PDB file 'qfserver.exe': Loaded 'C:\Windows\SysWOW64\kernel32.dll', Cannot find or open the PDB file 'qfserver.exe': Loaded 'C:\Windows\SysWOW64\KernelBase.dll', Cannot find or open the PDB file 'qfserver.exe': Loaded 'C:\Windows\SysWOW64\ws2_32.dll', ... | ||
| FAQ | Code Request Page | 2012/4/23 |
| program with matlab codes for Minimize peak to average ratio using parametric minimum cross entropy methods | ||
| FAQ | Code Request Page | 2012/4/23 |
| program an coding of Minimize PAPR(peak to average ratio) using parametric minimum cross entropy method | ||
| FAQ | FAQs on Johansen's Cointegration test | 2012/4/23 |
| how do i intepret johanson cointegration result output | ||
| Software | Quanto Option Pricing | 2012/4/16 |
| Hello, I have to build a pricer of a call in Euri in which the stock is in $. I found the folowing dynamic: dSt=St*(rf-q-rho*sigS*sigFX)dt+sigS*dWt rf: foreign rate ($ interest rate) rho: correlation between eur/usd and the stock q: dividend rate sigS: STock volatility sigFX: eur/sud volatility | ||
| Software | Black Scholes option price | 2012/4/15 |
| There seem to be a bug. I cannot run the function since I am facing the following error message: Error: File: BlackScholesPrice.m Line: 30 Column: 1 Illegal use of reserved keyword "elseif". | ||
| Software | Black Scholes option price | 2012/4/15 |
| Unfortunately it doesn't work... Getting Error: Illegal use of reserved keyword "elseif" (in Line 30) Can you fix that somehow? I want to use the Barrier Option Pricing with Static Replication Code and this one is required | ||
| Software | Convertible bond on Tsiveriotis Fernandes Binomial Tree | 2012/4/15 |
| Hi, can anyone help me interpret this script? I am trying to tailor this script as an alternative for the built-in function 'cbprice' that I cannot get working. However, there are several parts of the code I do not understand. Can/will you help me? tomhagenaars@hotmail.com | ||
| FAQ | About QuantCode | 2012/4/13 |
| Hi Vanna, great site, incredibly good stuff here. I'm currently looking for a developer to help with building an ATS in C# .NET and wondering if you do contract project work. email me at chad.gray@cfgraytrading.com if interested in discussing | ||
| Software | Excel Options monitor and strategy analyzer using Google Finance as data source | 2012/4/13 |
| Hi i would like to get option chains for multiple stocks upto a 100. Would i able to do that with a single click? | ||
| Software | Asian option price using binomial tree | 2012/4/12 |
| hey can you please try to forward me the above mentioned paper and any more easy(to understand) asian pricing vba code if possible. Thanks for your time. Please forward it on raghuveer.paturi@gmail.com | ||
| Software | Augmented Dickey Fuller Test (ADF) in Excel VBA | 2012/4/7 |
| what is excel vba is it available in MS excel 2007 | ||
| Software | Portfolio Optimization using Markowitz Model | 2012/4/7 |
| what is a portfolio rebalancing | ||
| Software | Portfolio Optimization using Markowitz Model | 2012/4/5 |
| AXA, ERA, FMG, JBH, QAN | ||
| Software | Implied Volatility Surface | 2012/4/5 |
| PLEASE UPDATE! this is awesome! | ||
| Software | GARCH code in Excel | 2012/4/5 |
| how mu is calculated | ||
| FAQ | How do I force a C# project to use x86 in Visual C# 2008 express? | 2012/4/4 |
| Simple and very informative. Thank you. | ||
| Software | Example of using Levenberg Marquardt for Parameters calibration in Excel | 2012/4/1 |
| The empirical data plots as a parabola, this LM implementation plots nearly a straight line. Not so good. | ||
| Software | SVD Singular Value Decomposition of a matrix in Excel | 2012/3/31 |
| So where do I find the SVDD or SVDU functon in Excel, not in Math functions. | ||
| Software | Pairs trade finder from Yahoo Finance in C# | 2012/3/30 |
| It works if you switch the target framework to .NET Framework 3.5. | ||
| FAQ | How do I use GSL on Visual C++ 2005 express? | 2012/3/28 |
| anyone can help for that error? I also get that error and can not find the way to solve! thanks for your help! | ||
| Software | Portfolio Optimization using Markowitz Model | 2012/3/27 |
| Hello, How do compute the expected return of a list of stocks (no weights given) on excel? | ||
| Software | Simulating Clayton and Frank Copulas | 2012/3/27 |
| This is great model. I have problem with implementing Clayton copula depdendencies with more than 2 assets. In case i would use correlation matrix i would just make Cholesky matrix and that is it for the multi asset simulation. But how to do the same with Clayton Copula which is much better dependency measure. I understand how to do it between two assets but when there is third and fourth there needs to be some way to define the dependency between all these assets for example based on the correl... | ||
| Software | Excel Options monitor and strategy analyzer using Google Finance as data source | 2012/3/27 |
| I am not able to update the file clicking the Get Prices button msg: Runtime error '1004' unable to set the NumberFormatLocal property of the Range class What would that mean ? | ||
| FAQ | About QuantCode | 2012/3/26 |
| Thanks for your insightfull materials. I have problem of implementing clayton copula dependencies between several assets. How to go from 2 to many assets like we have with the linear correlation matrix between each of the asset dependency number. Can you post example of this. thanks in advance. | ||
| Software | Simulating Clayton and Frank Copulas | 2012/3/26 |
| Great examples. Just one question. How to extend this idea to several assets. LEts say i have 4 assets and i want to have between all of these assets dependence structures like in the linear case i would have in the correlation matrix. So how to extend from 2 to several assets and get the dependence to work? | ||
| Software | Portfolio Optimization using Markowitz Model | 2012/3/22 |
| Apparently this spreadsheet does the same, but with transaction costs: http://investexcel.net/215/mean-variance-portfolio-optimization-with-excel/ | ||
| Software | Pairs trade finder from Yahoo Finance in C# | 2012/3/22 |
| Will this run in XP64 with Excel 2007 & MYSQL Server 5.1 & MYSQL Workbench 5.2 CE? Is the code available? It appears, for each equity, the entire file is downloaded rather than updated. For a few equities, this is ok, but for hundreds it does not seem practical. In your snapshot, it appears you have many stocks; how many were there and how long did the entire run take? What are the parameters? Can they be modified? Where are the list of stocks defined; I’d prefer to analyze several small gr... | ||
| FAQ | How do I interpret Johansens' test results? | 2012/3/20 |
| Hi, Can you please explain the rationale on dividing eigen vector with its own element. What is the rule followed here ? Thank you. S. | ||
| Software | GARCH code in Excel | 2012/3/19 |
| where are ARCH-GARCH models in excel ? | ||
| Software | Matlab website of Eric JONDEAU & Michael ROCKINGER | 2012/3/18 |
| Hey ..I need the Matlab code for S&P100 case study in Rockafellar and Uryasev's paper of 2000.Can you please send it me if you have it. My email id : archiesg05@gmail.com | ||
| Software | CDO Square Loss distribution using Gaussian Copula | 2012/3/17 |
| How do you output result of C++ math equation | ||
| Software | Tutorial on Generalized Method of Moments (GMM) | 2012/3/17 |
| what is the difference between 2sls and GMM | ||
| FAQ | Code Request Page | 2012/3/17 |
| hi i am looking for code of credit risk estimation by KMV models thanks | ||
| Software | Asian option price using binomial tree | 2012/3/12 |
| hi, can i have a copy of Hall's and White article. my mail is hadi_gilan@yahoo.com thanks. | ||
| FAQ | How do I call GnuPlot from C++ in Windows XP? | 2012/3/11 |
| I would like to take the opportunity of nknahitg you for your professional assistance I have usually enjoyed viewing your site. I am looking forward to the particular commencement of my college research and the whole prep would never have been complete without coming over to your site. If I may be of any help to others, I would be delighted to help via what I have learned from here. | ||
| Software | Multi regression with Standard Errors in C# using GSL | 2012/3/8 |
| My name is Sergei Belov (QuantCode user hyperstrings2003, email hyperstrings2003@yahoo.com) I am MIT Math Ph.D with 15-year financial quant experience I am testing your "Multi regression with Standard Errors in C# using GSL" and am experiencing 2 strange problems: 1) when I compile "x86" (Debug or Release" I am getting the following error message: Managed Debugging Assistant 'PInvokeStackImbalance' has detected a problem in 'C:\gsl-1.8-src\bin\Release\ConsoleApplication.vshost.exe'. ... | ||
| FAQ | About QuantCode | 2012/3/4 |
| Hi vanna, thanks in advance for all you have posted here, i found it very helpfull. I am interest into Asian option pricing using finite difference methods. You have posted a c++ code for it but i need it in matlab and, thats bad, i dont know c++ at all. Can you help me? Thanks Filippo PS: my mail is filippogasco@gmail.com | ||
| Software | Exponential integral function in VBA | 2012/2/27 |
| Is there a vba code for the normal case of the exponential integral function easy and free to download? | ||
| Software | Tutorial code for simulating from Weibull ACD model | 2012/2/24 |
| hi there is a problem with this link, I can't download the tutorial code for simulating from weibull ACD model. I needed for modeling data in my thesis Please, if any one has the code, can he send it to me on cyrine1313@yahoo.fr Thank you | ||
| Software | American Option Pricing using Random Tree | 2012/2/24 |
| Hi, I want to create a random tree as in "American Option Pricing using Random Tree", but I need to modify it. In the Excel file I cannot step into the code to read it. Can you help in providing the code? It would be really helpful if you could send it to hansafuru@hotmail.com | ||
| Software | Pairs trade finder from Yahoo Finance in C# | 2012/2/24 |
| i also having this problem, how can this be solved? | ||
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