mfrdixon / gpusvcalibrationLinks
Development version of a R package to support fast calibration of stochastic volatility models for option pricing using GPUs
☆11Updated 11 years ago
Alternatives and similar repositories for gpusvcalibration
Users that are interested in gpusvcalibration are comparing it to the libraries listed below
Sorting:
- This is a read-only mirror of the CRAN R package repository. PerformanceAnalytics — Econometric Tools for Performance and Risk Analysis…☆16Updated last year
- Functions for the construction of risk-based portfolios☆54Updated 4 years ago
- R package for high frequency time series data management☆64Updated 7 months ago
- R package AssetAllocation☆33Updated 2 years ago
- CRAN Task View: Empirical Finance☆58Updated last week
- ☆45Updated 11 years ago
- R Finance packages not listed in the Empirical Finance Task View☆13Updated last week
- Easily source publicly available data on derivatives☆37Updated 3 years ago
- using the Inverse-Transform method to speed up options pricing simulations in R☆28Updated 5 months ago
- Portfolio level (un)conditional risk measure estimation for backtesting using Vine Copula and ARMA-GARCH models.☆24Updated last year
- ☆96Updated 7 months ago
- ☆47Updated 9 years ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆37Updated this week
- GARCH models estimated using autodiff.☆16Updated 7 months ago
- An R package for forecasting volatility, using the Markov Switching Multifractal model.☆32Updated 8 years ago
- blotter provides transaction infrastructure for defining transactions, portfolios and accounts for trading systems and simulation. Provid…☆118Updated last year
- R package for Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Time Series Models☆21Updated last year
- R package for commodities and finance analytics. Sister python package details below.☆31Updated 2 months ago
- Portfolio Management with R: Backtesting investment and trading strategies, computing profit-and-loss and returns, reporting, and more.☆64Updated last week
- R presentation files (knitr, shiny, etc.)☆12Updated 5 months ago
- Functions for executing trading strategies via the API of Interactive Brokers☆14Updated 4 years ago
- ☆82Updated last year
- getSymbols() reboot☆17Updated last year
- An R interface to the ITCH Protocol☆20Updated last year
- ☆17Updated 4 years ago
- Fixed income tools for R☆63Updated 7 months ago
- MSGARCH R Package☆82Updated 3 years ago
- R package for inference on the Sharpe ratio.☆20Updated last year
- A shiny application to explore the basics of option evaluation☆15Updated 8 years ago
- ☆19Updated 7 years ago