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Reproducible quantitative research. Also reached at FinMath.Us

FinancialMathematics.Com is a Wiki designed for collaborating on ideas, code, papers and other material as it related to the finance industry ... with a heavy slant toward credit derivatives research. An experimental feature is the ability to embed Matlab code into pages and subsequently, call that code directly from Matlab in a manner that retrieves the libraries automatically and guarantees the latest code revision. You can save other people's time because users of your code need never download anything manually - neither your code, nor any toolboxes you exploit.

Contents

Edit the Code Repository -or- View the Code Repository

Cut and paste the following at the Matlab prompt or include in your startup.m

mkdir(prefdir,'fin_math');delete(which('fmgrow.m'));
urlwrite('http://www.financialmathematics.com/code/fin_math/fmgrow.m',fullfile(prefdir,'fin_math','fmgrow.m'));
addpath(fullfile(prefdir,'fin_math')); 
fmgrow;

Papers, Conferences and Patents

Credit papers repository. QMF 2007 AMS_2008

Overviews

Credit models: latent variable, dynamic single portfolio (top down), dynamic multi-portfolio, Copula, and more. Credit overview

See also

Content, Why, Why contribute, Why matlab, How, About, Where, Objectives, Supporters, Projects, Equity/Futures Data and Automated Trading Systems

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