Directory of Open Source Software for Quantitative Finance & Trading

This Week’s Popular Quantitative Finance Papers

Category	Title	Download	Hits	Share
Malliavin Calculus	AN INTRODUCTION TO MALLIAVIN CALCULUS WITH APPLICATIONS TO ECONOMICS	Download	40	Share
Quantitative Trading	Free real time order book viewer by BATS	Download	12	Share
Vasicek interest rate model	Affine Term-Structure Models: Theory and Implementation	Download	11	Share
Hull White Model	Interest Rate Models: Hull White	Download	9	Share
Pairs Trading	Trading in the Presence of Cointegration	Download	8	Share
MCMC	Introduction to Monte Carlo and MCMC Methods	Download	8	Share
Hull White Model	The Hull-White Trinomial Tree of Interest Rates	Download	8	Share
Fixed Income or Interest Rate Models	Advanced derivative notes by Richard C. Stapleton	Download	7	Share
Statistical Arbitrage	Relativistic statistical arbitrage	Download	7	Share
Heston	LOCAL VOLATILITY IN THE HESTON MODEL: A MALLIAVIN CALCULUS APPROACH	Download	7	Share
Statistical Arbitrage	VAR and VECM diagnostics	Download	7	Share
Vasicek interest rate model	Vasicek estimation using GMM	Download	7	Share
Vasicek interest rate model	STOCHASTIC VOLATILITY, A NEW APPROACH FOR VASICEK MODEL WITH STOCHASTIC VOLATILITY	Download	7	Share
Vasicek interest rate model	YIELD CURVE ESTIMATION AND PREDICTION WITH VASICEK MODEL	Download	7	Share
Hull White Model	BERMUDAN SWAPTIONS IN HULL-WHITE ONE-FACTOR MODEL: ANALYTICAL AND NUMERICAL APPROACHES	Download	7	Share
Variance Gamma	Pricing options with VG model using FFT	Download	7	Share
Kalman Filter	INTEREST RATE MODEL CALIBRATION USING KALMAN FILTERING	Download	6	Share
Time Series Analysis	Time Series Analysis Tutorial	Download	6	Share
Hull White Model	THE HULL AND WHITE MODEL OF THE SHORT RATE: AN ALTERNATIVE ANALYTICAL REPRESENTATION	Download	6	Share
SABR model	Using SABR model to produce smooth local volatility surfaces	Download	6	Share