716 search results for "finance"

evolutionary algorithm optimization

September 4, 2008

In the post Optimization packages dozens of optimization routines can be downloaded, here I am going to share a special optimization method: evolutionary algorithm. Evolutionary algorithms (EAs) are search methods that take their inspiration from natu...

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Visualize Copulas

In those Copula codes you can get a rough idea what copula is, how to estimate and simulate it, how to test its performance, etc., to help you visualize what on earth the copula should look like, below R code draws plots of some widely used copulas.ht...

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Process Simulation in R

Simple demonstration codes for process simulation in R, including Brownian motion simulation, Poisson process simulatio, Euler scheme simulation for Geometric Brownian motion, the mean-reverting process, and the process with two 'attractors', etc.http...

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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. http://www.math.tu-berlin.de/~mkeller/index.php?target=rcodeTags - 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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