Directory of Open Source Software for Quantitative Finance & Trading

Today’s Popular Quantitative Finance Papers

Category	Title	Download	Hits	Share
SABR model	Using SABR model to produce smooth local volatility surfaces	Download	3	Share
Fixed Income or Interest Rate Models	Calibration of term structure models	Download	2	Share
Statistical Arbitrage	A ROBUST NON-LINEAR MULTIVARIATE KALMAN FILTER FOR ARBITRAGE IDENTIFICATION IN HIGH FREQUENCY DATA	Download	2	Share
Interest Rate and Credit Derivatives	CDS Market Formulas and Models	Download	2	Share
Bermudan Option	A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models	Download	2	Share
Credit Default Swap	A Dynamic Programming Approach for Pricing CDS and CDS Options.	Download	2	Share
Hull White Model	Interest Rate Models: Hull White	Download	2	Share
Statistical Arbitrage	Relativistic statistical arbitrage	Download	1	Share
Pairs Trading	Cointegration notes by Bent E. Sorensen	Download	1	Share
Hull White Model	THE HULL AND WHITE MODEL OF THE SHORT RATE: AN ALTERNATIVE ANALYTICAL REPRESENTATION	Download	1	Share
SABR model	MANAGING SMILE RISK	Download	1	Share
Binomial Tree	Implied Binomial Trees	Download	1	Share
Interest Rate and Credit Derivatives	An efficient lattice algorithm for the Libor Market Model	Download	1	Share
Fixed Income or Interest Rate Models	Interest Rate Models Q & A by Andrew CAIRNS	Download	1	Share
Probability and Stochastic Calculus	Stochastic Calculus	Download	1	Share
Heston	Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options	Download	1	Share
Heston	Heston model chapter from eBook	Download	1	Share
SABR model	Effective approximation of FX/EQ options for the hybrid models	Download	1	Share
Value At Risk	Risk Management Book	Download	1	Share
Hull White Model	The General Hull-White Model and Super Calibration	Download	1	Share