Blog Archives

Heston model for Options pricing with ESGtoolkit

January 20, 2016
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Heston model for Options pricing with ESGtoolkit

Hi everyone! Best wishes for 2016! In this post, I’ll show you how to use ESGtoolkit, for the simulation of  Heston stochastic volatility model for stock prices. This is probably my last post on ESGtoolkit, before I start working on … Continue reading →

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Calibrated Hull and White short-rates with RQuantLib and ESGtoolkit

December 24, 2014
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Calibrated Hull and White short-rates with RQuantLib and ESGtoolkit

In this post, I use R packages RQuantLib and ESGtoolkit for the calibration and simulation of the famous Hull and White short-rate model. QuantLib is an open source C++ library for quantitative analysis, modeling, trading, and risk management of financial … Continue reading →

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Monte Carlo simulation of a 2-factor interest rates model with ESGtoolkit

October 12, 2014
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Monte Carlo simulation of a 2-factor interest rates model with ESGtoolkit

The whole post can be found here on RPubs, as (according to me !) this website provides a nice display for R code, figures and LaTeX formulas. Plus, you can publish directly on Rpubs, simply by using Markdown within RStudio. … Continue reading →

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Impact of correlated predictions on the variance of an ensemble model

August 21, 2014
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Impact of correlated predictions on the variance of an ensemble model

Let and be the prediction errors of two statistical/machine learning algorithms. and have relatively low bias, and high variances and . They are also correlated, having a Pearson correlation coefficient equal to . Aggregating models and might result in a … Continue reading →

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Rmetrics Workshop on R in Finance and Insurance, Paris 2014

June 28, 2014
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Rmetrics Workshop on R in Finance and Insurance, Paris 2014

Here are the slides of the talk that I gave yesterday with Prof. Frédéric Planchet at the 8th Rmetrics workshop in Insurance and Finance :   http://www.ressources-actuarielles.net/C1256F13006585B2/0/39B54166464089AFC12572B0003D88C2/$FILE/Rmetrics.pdf?OpenElement   The R codes can found here : For ESG http://www.ressources-actuarielles.net/EXT/ISFA/fp-isfa.nsf/34a14c286dfb0903c1256ffd00502d73/a5e99e9abf5d3674c125772f00600f6c/$FILE/examplesESG.R For ESGtoolkit … Continue reading →

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Announcing ESGtoolkit v0.1

June 14, 2014
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Announcing ESGtoolkit v0.1

I’m pleased to announce the release on CRAN repositories, of our new R package : ESGtoolkit. It’s a set of tools for Monte Carlo simulation of various models, involved in the construction of an Economic Scenario Generator (ESG),  such as : equilibrium and no-arbitrage short … Continue reading →

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Solvency II yield curve ‘fits exactly’. Too tightly to explain ?

March 11, 2014
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Solvency II yield curve ‘fits exactly’. Too tightly to explain ?

For the QIS5 and the LTGA (Quantitative Impact Studies), the Prudential Authority (EIOPA) suggested the use of Smith-Wilson method for the purpose of discounting future cash flows. A description of this method can be found here. The technical specifications for the QIS5 argued … Continue reading →

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How much faster is calibration with parallel processing and/or R byte-code compiling ?

December 20, 2013
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How much faster is calibration with parallel processing and/or R byte-code compiling ?

The Svensson model is a 6-factor yield curve model that has been derived from the Nelson-Siegel model in : Svensson, L. E. (1995). Estimating forward interest rates with the extended Nelson & Siegel method. Sveriges Riksbank Quarterly Review, 3(1) :13-26. … Continue reading →

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