Recent content by schmellow

  1. HJM Model

    Hi samkhalilian, can not serve with an Excel sheet, but this one gives a simple example in C. Should be possible to adapt it to your needs. A nice little paper on this topic is comes here. hope it helps cheers
  2. Calibration of the Heston SV-model to market data.

    Hi KasP the DE optimization method should work just fine, afterwards you could think of a local refinement with eg Levenberg-Marquardt method to improve upon your global minimum. Here is a website devoted to Differential Evolution with code for various languages. Thomas Weise offers a free...
  3. Archimedean copula

    Hi alfredo have a look at this one Implementing Models in Quantitative Finance: Methods and Cases it´s nicely explained and some matlab code online. Sections on calibrating copulae and sampling from various copulae you can find here Copula Methods in Finance. A lot of papers on the subject...
  4. Quant finance papers websites?

    On the sites from Martin Sewell you can find dozens of papers and useful links (and some excel files) on many specific areas... Martin Sewell's UCL Web Pages and Martin Sewell’s Web Sites Another one with quite a lot papers is the following (only up to 1999, but with a lot of classical ones)...
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