搜索资源列表
LMM_MonteCarlo
- MATLAB code to perform Monte Carlo simulation for getting price of an European swaption under the Libor Market Model (LMM) framework.
CDS_Copula
- code to price a n-to-default basket CDS. It takes as input hazard rate coefficients and uses T-copula model to calculate fair rate of CDS
svm_time
- 做时间序列预测的svm程序,matlab编的，多种时间序列预测模型-Time series prediction svm program, matlab code, and a variety of time-series forecasting model
regression-matlab-source-
- 线性回归matlab源码，处理一个经典的问题-Linear regression matlab source code, a classic problem
sttc_stage_warlock.m.tar
- This matlab code is about STTC Stages in OFDM systems. This code was written with a lot of hardwork. This took me a lot of time to write.
DCCGARCH
- 多元garch估计，牛津大学sheppard教授写的五个m文件，用来估计参数。-dcc-garch model matlab code
CointegrationPairsTrading
- MATLAB code for Co-integration-based pairs trading
pricing-code
- 各式期权的定价方法，使用MATLAB地软件进行编写。-European option pricing methods binary tree, written with MATLAB.
code
- 一个利用MATLAB编写的螺纹钢期货高频交易套利策略。本策略主要使用移动平均(Moving Average)+RSI 指数策略进行交易判定。其基本思想是 MA 策略对 于明显 趋势走效果较好，而 RSI 策略适用于震荡的行情 ，对两种策略 产生的信号合成之后具有较强抵抗风险的能力 。实际验中，在对 。实际验中，在对 。实际验中，在对 初始 价格信号进行处理并 通过以往数 据回测，得到最佳 据回测，得到最佳 参数组合之后， 策略的 年均收益率 达到了23.6 2，夏普比率为 2.05。-One u
MATLAB-programs
- 戴维.鲁伯特的统计与金融一书的matlab代码- matlab code of<statistics and finance >by David Rupert
matlab-code-example
- 基于算法设计的量化投资策略案例 及策略回测代码案例-quantitative Investment stragtgy backtesting example
cicc
- 很好的量化投资学习资料，能够同时对多只股票的多个指标提取-MATLAB CODE FOR HISTORY TEST
bsmodel.m
- Matlab code for the black scholes formula for pricing Call option and Put option
gdfm_toolbox_1.3
- 广义动态因子模型的matlab代码，用于估计变量的共同成分，以及预测。-GDFM matlab code
MATLAB-code
- 包含了14段代码，主要是金融领域。包含了显性有限差分-期权定价、蒙特卡洛定价、风险中性期权定价等-Contains 14 sections of the code, mainly in the financial sector. Contains explicit finite difference- pricing, Monte Carlo pricing, risk-neutral pricing options
emd_toolbox-1.3-src
- 经验模态分解EMD，matlab实现，内含多个工具包-EMD matlab code
correlation_demo
- 04/17/2014 Author: Emin Orhan Matlab code for running model-mismatch simulations for different scenarios. Matlab scr ipts corresponding to different scenarios are provided in separate directories. -04/17/2014 Author: Emin Orhan Matl
spread_am
- 美式看涨价差及看跌价差期权的二叉树定价matlab代码-matlab code of american call and put spread option
Untitled.ZIP
- matlab code for adaptive control
matlab code
- 用来实现BS公式的二叉树求解方法，有过程有解释有图(The two forked tree solution for the implementation of the BS formula has the process of explaining the graph)