Python, MATLAB, Visual Basic
n-dimensional correlated Brownian motions
Generate a matrix of increments from a multidimensional Brownian motion with a given vector of means and a Variance-Covariance m...
3 mesi ago | 3 downloads |
Stationary bootstrap algorithm for resampling weakly-dependent stationary data. Based on the 1994 paper by Politis & Romano.
5 mesi ago | 6 downloads |
Smith & Wilson algorithm
Smith & Wilson is a popular algorithm for approximating financial curves such as bond yields or rates.
5 mesi ago | 3 downloads |