Section | FileName | Time |
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Software | Re: Windows / Linux / Unix Real-time Options Calculator 1... | 2015/10/28 |

Now available for Mac OS X. http://anthonybradford.com/om/Downloading-and-Installation.html http://anthonybradford.com/OptionMatrix-1.4.3.app.zip | ||

Software | Re: Local volatility surface | 2015/5/18 |

The formula above (and consequently the Matlab implementation) is not correct. In Equation 12, the term in the denominator after the plus sign, has sigma i squared. This should just be sigma i without the squared. See: Equation 3.19 in Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options by Antonie Kotzé - Journal of Risk and Financial Management ISSN 1911-8074 Equation 5.26 in Local and Stochastic Volatility Models: An Investigation into the Pricing of... | ||

Software | Re: [web:reg] GARCH(1,1) | 2015/3/2 |

:) | ||

Software | AlgoTrader 2.2 is Here! | 2014/12/10 |

Hi traders, Still looking for that smart solution to beat the markets and get the most out of your trading? Check out the latest edition of AlgoTrader 2.2 at http://www.algotrader.ch/algotrader-2-2/ along with all the new features allowing you to take control of your trading like never before. AlgoTrader is a Java-based algorithmic trading platform that enables you to rapidly develop, simulate, deploy and automate any quantitative trading strategy for any market. Version 2.2 has just... | ||

Software | Re: Gaussian, Student ,Clayton, Frank and Gumbel copulas | 2014/6/26 |

Greetings Vanna! Thanks for your great posting. I was wondering have you tried to simulate in vba multivariety archimedean Copulas (> 2 assets)? I is hard to find any examples how to approach the > 2 case with Archimedean copulas. thanks in advance on your answers! markus Finland | ||

Software | Open Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX | 2013/7/18 |

We are very pleased to announce that version 2.0 of AlgoTrader has been released. This version contains the following new features: - Multi Account Handling - Bloomberg Market Data Interface - Hibernate Level-Zero Cache - New Execution Algorithm “Distributional” - Interactive Brokers Financial Advisors Handling over FIX - SABR Option Pricing Engine - Single-JVM Live-Trading Mode - Eclipse Colorer Integration - Support for Global Industry Classification Standard (GICS) - 3rd Party L... | ||

Software | Open Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX | 2013/6/13 |

We are proud to announce the new AlgoTrader Level-Zero Cache. Using Level-Zero Cache automated Trading Strategies can profit from full database access in Live-Trading without introducing any latency penalties. There are many advantages of having a database available to your trading strategy: orders / trades can be stored, current positions are available even after a system restart, performance indicators can be calculated based on database data, etc. Java based systems often use persistenc... | ||

Software | Black Litterman Implied Returns | 2013/6/1 |

where does Black take the covariance matrix from? historical? | ||

Software | Open Source Algorithmic Trading System based on Esper, Spring, InteractiveBrokers and FIX | 2013/6/1 |

AlgoTrader is now available as a commercial product (with Support, Professional Services, etc.): www.algotrader.ch The AlgoTrader Enterprise Edition now has many new Features including: 3 different GUI's Different Broker Interfaces (Native and Fix) Support for custom Derivative Spreads Several built-in Execution Algorithms Support for wide array of security types and asset classes Multi-Account Functionality & & Multi-Module Strategies Automated Forex Hedging & Options Pricing Engine ... | ||

Software | Code Financial Modelling | 2013/5/31 |

I am working on calculate the credit risk of a bank using Geske's model. I want to know how to use the matlab code to calculate the asset volatility, probability of default, value of asset, endogenous default boundary. | ||

Software | Global Derivatives Matlab Code | 2013/5/31 |

Can I get the Matlab program to calculate implied value of asset, implied asset volatility, value of default boundary, and short term default probability. | ||

Software | Unit root testing demo using Augmented Dickey fuller test | 2013/5/30 |

formulate a unit root test, using augumented dickey fuller test for the project topic the impact of crude oil price shocks on nigerian economy growth | ||

Software | Example of using Levenberg Marquardt for Parameters calibration in Excel | 2013/5/29 |

I have the same question "i am not understand levenberg marquardt algorithm,and how to applied, can u give me some example of this theory." Would it be also possible to post answers, so everyone can benefit from it? | ||

Papers | Numerical Simulation of American Options | 2013/5/25 |

how can i catch the codes please | ||

Software | Bond duration | 2013/5/23 |

Hi, could you help for a template to manage bonds portfolio using BPV monitoring | ||

FAQ | Code Request Page | 2013/5/22 |

pricing of vanilla call options granted by average payoff at maturity | ||

Software | Minimum Variance Portfolio | 2013/5/21 |

HI, but in your code you're not considering any restriction on the minimum portfolio return you want to get, is that rigth? thanks! | ||

Papers | Stochastic Volatility Model with Time dependent Skew | 2013/5/16 |

A Multi-Quality Model of Interest Rates | ||

Software | Vasicek model estimation using Kalman filter | 2013/5/15 |

the attached matlab file does not work guys right? thank you | ||

Papers | Implementation of the Black, Derman and Toy Model | 2013/5/13 |

Me and this article, stiting in a tree, L-E-A-R-N-I-N-G! | ||

Papers | Maximum likelihood estimation of the Heston stochastic volatility model using asset and option price | 2013/5/13 |

Hi,Yes price is already olnivappreg under B so strictly speaking there is a set up. The idea behind the strategy on the chart though is to wait for a bit more certainty about the overlap. The dashed line is well down into a support zone under B. If price gets under that you can be a bit more confident that the market is displaying real weakness and not just flicking briefly below the peak at B.If we do get a reversal, the profit objective is likely to be good enough to justify a later entry like... | ||

Software | ActiveQuant | 2013/5/13 |

well I tried too many codes and by far none of them worked. I tried yours as well but no sucecss. Just wondering if there is any way to make it work.I'm a little bit suspicious about mod_gzip and mod_deflate. | ||

Software | Implied Volatility | 2013/5/6 |

Need the actual code for the above function as my matlab program doesn't have the finace toolbox | ||

Software | Time Series Excel files of Professor Ser-Huang Poon | 2013/4/30 |

The link is broken :( | ||

FAQ | What is importance sampling? | 2013/4/22 |

for Matlab, do you know any of the following or know where I can find out about them? I searched on the web and couldn't find out what they mean Xtemp Winc n_bin = 200 iTime iPath disp(sprintf('mean: %.5g\n',stndrd_dev)); strm = RandStream('mt19937ar','Seed',575) @(t,X) tInsert rndmat likeve | ||

Software | Tutorial for optimal weight matrix in Generalized method of Moments | 2013/4/20 |

what is weight matrix?? | ||

Software | Option price using Binomial tree with discrete dividends | 2013/4/19 |

when entering the dividends paid after option expiry it shouldn't affect the option price | ||

Software | Example of using Levenberg Marquardt for Parameters calibration in Excel | 2013/4/16 |

I also have a question about additional set of parameters. How can I add a strip of values to use in formula? Say y1=ax1^2+z1*bx1+c,y2=ax2^2+z2*bx2+c | ||

Software | Augmented Dickey Fuller Test (ADF) in Excel VBA | 2013/4/13 |

SIR/MADAM:- example of error correction model | ||

Software | Example of using Levenberg Marquardt for Parameters calibration in Excel | 2013/4/12 |

Why is it giving me Type Mismatch error when it can't find a solution? | ||

Software | Example of using Levenberg Marquardt for Parameters calibration in Excel | 2013/4/12 |

It's constantly giving me type mismatch error for some data that it can't optimize. What should I do? | ||

Software | Bilinear interpolation function in VBA | 2013/4/12 |

not working pal | ||

Software | Dynamic Asset Allocation Strategies (for Prop Trading and Hedge Funds) | 2013/4/11 |

do you have a password: bruno.heusser@swiss-rock.ch | ||

Software | Asian Option price using Monte carlo simulation | 2013/4/6 |

I want to ask you the VBA code for Asian options with stock that pays dividend | ||

Software | Vanilla Option pricing in Variance Gamma model using Monte Carlo simulation (II) | 2013/3/28 |

Can you display the two functions; gamma and normal | ||

Software | Pairs trade finder from Yahoo Finance in C# | 2013/3/25 |

I intresting to use this application! Is more day i try to setting all but i not arrive to use this! I use windows Xp S3 and i install Framework 4.0 and i install all 3 program ( MySQL Community server - ADO .NET connector - MySQL workbench) and Visual Studio 2012 Premium... I try to more configuration but i not arrive to run the application ... In particolar yahootest if i open with VS 2012 tell me i do to some modification to open the file.... and some persone in some forum tell there is a ... | ||

Software | Tutorial for using MINPACK's C version of Levenberg Marquardt optimizer | 2013/3/22 |

I did it as you said, but it can not work,it show include "stdafx.h" is not exist,and there is no main function! can you tell me how to work!! | ||

Software | Vector Autoregression (VAR) in Excel | 2013/3/21 |

give a real problem so easily understand the solution with suitable approach.... | ||

Software | Option Price using CRR Rubinstein Binomial tree | 2013/3/13 |

WHAT ABOUT DIVIDENDS | ||

Software | Unit root testing demo using Augmented Dickey fuller test | 2013/3/7 |

unit root testing demo using Augmented Dickley Fuller test,stepwise process.God bless. | ||

Software | Vasicek model estimation using Kalman filter | 2013/2/28 |

Hello, I am a student working on the Vasicek Model as my thesis and the Kalman filter is one calibration technique im investigating. Could you kindly send me the complete code at u0905612@nus.edu.sg | ||

Software | GARCH code in Excel | 2013/2/21 |

I believe that the first component in the loglikelihood function should be -ln(sigma^2)/2 or -ln(sigma). This spreadsheet has it as -ln(sigma^2). | ||

Software | Option Price using CRR Rubinstein Binomial tree | 2013/2/16 |

Hello, can there be a code showing how the stock price and option price tree looks like. The output can be throw to sheet 2 and sheet 3 respectively. Many thanks! | ||

Software | Bilinear interpolation function for GSL | 2013/2/13 |

Here's a translation using STL + Boost:
//
// returns neighbouring indexes in a STL vector
//
void GetNeigbourIndices(const vector | ||

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 |