Software Map
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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), VannaVolga model, etc.  
Tags: volatility, option, vannavolga  
This project has not yet categorized itself in the Trove Software Map  Activity Percentile: 0 Activity Ranking: 0 Registered: 20150224 16:06 
Opefimor  Companion package to the book Option Pricing and Estimation of Financial Models in R, Wiley, Chichester. ISBN: 9780470745847.  
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: 20150821 21:50 
Quantlab  A collection of function to valuate options, greeks, volatility, and other parameters used by traders. VannaVolga, realized and implied volatility, skewness, and kurtosis, volatility smile scenarios, P&L shape, and other techniques are included.  
Tags: volatillity, option, vannavolga  
This project has not yet categorized itself in the Trove Software Map  Activity Percentile: 0 Activity Ranking: 0 Registered: 20140121 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: 92 Activity Ranking: 5 Registered: 20090928 11:24 
fitob  General solvers for the general BlackScholes (Fokker Planck) partial differential equation (PDE) in a multidimensional setting with main application in finance (PDEbased option pricing).  
Tags: finance, option, sparse grids, multidimensions, option pricing  
This project has not yet categorized itself in the Trove Software Map  Activity Percentile: 0 Activity Ranking: 0 Registered: 20121102 22:52 