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5 projects in result set.
Historical & Implied Volatility - A framework of analysis the volatility of financial markets. Historical, realized, implied volatility, volatility smile (skew), Vanna-Volga model, etc.
Tags: volatility, option, vanna-volga
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2015-02-24 16:06

Opefimor - Companion package to the book Option Pricing and Estimation of Financial Models in R, Wiley, Chichester. ISBN: 978-0-470-74584-7.
Tags: Estimation, Finance, Time series, estimation, finance, option, option pricing, stochastic, stochastic differential equation, stochastic differential equations, stochastic modeling, stochastic processes, time series
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2015-08-21 21:50

Quant-lab - A collection of function to valuate options, greeks, volatility, and other parameters used by traders. Vanna-Volga, realized and implied volatility, skewness, and kurtosis, volatility smile scenarios, P&L shape, and other techniques are included.
Tags: volatillity, option, vanna-volga
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2014-01-21 19:24

Yuima Project - The project for simulation and inference of multidimensional stochastic differential equations.
Tags: finance, stochastic processes, stochastic differential equation, estimation, time series, model selection, change point, Bayesian, Finance, MCMC, Monte Carlo, Statistics, change detection, changepoint, dynamic systems, inference, likelihood, option, option pricing, simulation, simulations, statistical inference, statistics, stochastic, stochastic differential equations

Activity Percentile: 0
Activity Ranking: 0
Registered: 2009-09-28 11:24

fitob - General solvers for the general Black-Scholes (Fokker Planck) partial differential equation (PDE) in a multi-dimensional setting with main application in finance (PDE-based option pricing).
Tags: finance, option, sparse grids, multi-dimensions, option pricing
This project has not yet categorized itself in the Trove Software Map


Activity Percentile: 0
Activity Ranking: 0
Registered: 2012-11-02 22:52

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