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 →

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 →

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 →

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 ...

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 →

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 →

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 →