Blog Archives

R-code for Vasicek estimation

A short-rate model is usually calibrated to some initial structures in the market, typically the initial yield curve, the caps volatility surface, the swaptions volatility surface, and possibly other products, thus determining the model parameters. Va...

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download option price data from Yahoo

This R program can be used to download option price data from Yahoo to a data frame and to plot the corresponding implied-volatility smiles. - download , data , optionRead the full post ...

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Quantile Regression

Quantile regression is a statistical technique intended to estimate, and conduct inference about, conditional quantile functions. Just as classical linear regression methods based on minimizing sums of squared residuals enable one to estimate models f...

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Mango solutions

RStudio homepage

Zero Inflated Models and Generalized Linear Mixed Models with R

Quantide: statistical consulting and training


CRC R books series

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