Articles by édouard

Plotting forward curves with R

March 23, 2014 | édouard

I wanted to have an idea of the general form of the forward curve for London ICE gasoil futures contracts along the year. The R code below plot a forward curve for each month throughout the time series. Data were … Continue reading → [Read more...]

The forward (explicit) Euler method

December 31, 2012 | édouard

The forward (explicit) Euler method is a first-order numerical procedure for solving ODEs with a given initial value. The forward Euler method is said to be the simplest and most obvious numerical ODEs integrator. In fact, the simulation using the forward Euler only … Continue reading → [Read more...]

Bivariate normal distribution with R

September 21, 2012 | édouard

Exercise: Plot a bivariate normal distribution for simulated data, , and . As explained on Mathworld, the bivariate normal distribution is the statistical distribution with probability density function: where: and, with ‘real’ data: Here, we will impose . We are free to … Continue reading → [Read more...]

PDF and CDF for normal distributions with R

September 10, 2012 | édouard

Below, we give the R code to plot the PDF and the CDF for normal distributions. We wish to get charts quite similar to the ones read on Wikipedia (Normal Distribution). The resulting charts are shown at the bottom. Notice that … Continue reading → [Read more...]

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