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Meucci freeware
 

Meucci

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck To walk through the code and for a thorough description, refer toA. Meucci (2009) , "Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck",Latest version of article and code available at http://symmys.com/node/132


Platforms: Matlab


Added: June 28, 2013 | Visits: 261

Review of Discrete and Continuous Processes in Finance Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.To walk through the code and for a thorough description, refer to A. Meucci (2009), "Review...


Platforms: Matlab

License: Freeware Size: 4.69 MB Download (18): Review of Discrete and Continuous Processes in Finance Download

Added: August 26, 2013 | Visits: 335

Managing Diversification To walk through the code and for a thorough description, refer toSee A. Meucci (2009), "Managing Diversification"Latest version of article and code available at http://symmys.com/node/199


Platforms: Matlab

License: Freeware Size: 10 KB Download (18): Managing Diversification Download

Added: April 17, 2013 | Visits: 217

Estimation of Structured t-Copulas For a detailed description please refer to A. Meucci (2008) "Estimation of Structured t-Copulas"Latest version of article and code available at http://symmys.com/node/134


Platforms: Matlab

License: Freeware Size: 61.44 KB Download (18): Estimation of Structured t-Copulas Download

Added: July 30, 2013 | Visits: 283

Fully Flexible Extreme Views To walk through the code and for a thorough description, refer toA. Meucci, D. Ardia, S.Keel (2010) "Fully Flexible Extreme Views",Latest version of article and code available at http://symmys.com/node/159


Platforms: Matlab

License: Freeware Size: 20.48 KB Download (18): Fully Flexible Extreme Views Download

Added: April 20, 2013 | Visits: 218

Fully Flexible Views and Stress-testing To walk through the code and for a thorough description, refer toA. Meucci, "Fully Flexible Views: Theory and Practice"Latest version of article and code available at http://symmys.com/node/158


Platforms: Matlab

License: Freeware Size: 13.83 MB Download (18): Fully Flexible Views and Stress-testing Download

Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management To walk through the code and for a thorough description, refer toA. Meucci, (2010) "Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management",Latest version of code and article available at http://symmys.com/node/141


Platforms: Matlab


Added: July 12, 2013 | Visits: 285

Simulations with Exact Means and Covariances Multivariate normal simulations where sample mean and covariances match the respective population moments, refer toA. Meucci (2009), "Simulations with Exact Means and Covariances",Latest version of article and code available at http://symmys.com/node/162


Platforms: Matlab

License: Freeware Size: 10 KB Download (19): Simulations with Exact Means and Covariances Download

Added: July 21, 2013 | Visits: 348

Risk and Asset Allocation These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see http://www.symmys.comThe routines include many new features:- more uni-, multi- and matrix-variate distributions- more copulas- more graphical representations- more analyses in terms of the...


Platforms: Matlab

License: Freeware Size: 6.62 MB Download (19): Risk and Asset Allocation Download