richardson.zip - A generalized Richardson extrapolation routine that can perform multiple extrapolation steps, can accommodate arbitrary leading error terms, can handle any uniform refinement scheme (e.g. h/2, h/3, h/5, etc), and can report a full extrapolation table including comparing against a known good solution. Able to handle vector inputs. Compatible both with MATLAB and Octave. Includes Octave-style unit tests.,2009-06-10 05:23:17,下载19次
ukf.zip - The Unscented Kalman Filter (UKF) is a novel development in the field. The idea is to produce several sampling points (Sigma points) around the current state estimate based on its covariance. Then, propagating these points through the nonlinear map to get more accurate estimation of the mean and covariance of the mapping results. In this way, it avoids the need to calculate the Jacobian, hence incurs only the similar computation load as the EKF. ,2009-06-10 05:21:50,下载80次
efk_example.rar - This is a simple demo of a Kalman filter for a sinus wave, it is very commented and is a good approach to start when learning the capabilities of it.,2009-06-10 05:18:46,下载8次
nimalinmoodley.rar - This document covers various aspects the Heston model. The structure
and topics covered is as follows:
Chapter 1 introduces the model and provides theoretical and graphical
motivation for its robustness and hence popularity. It also discusses
pricing using the Partial Differential Equation and Equivalent Martingale
Measure techniques
Chapter 2 discusses how the different components of the model can be
evaluated computationally and how this can be achieved with different
methods. These methods are then compared to each other.
Chapter 3 addresses the calibration problem. Different methods are
presented as well as practical implementation, results thereof, and comparisons.
All the MATLAB code required to implement the model is provided in
the appendix,2009-06-10 05:15:08,下载15次
Finance_High_Frequency.rar - High-frequency financial data are observations on financial variables taken daily or at
a finer time scale, and are often irregularly spaced over time. Advances in computer
technology and data recording and storage have made these data sets increasingly
accessible to researchers and have driven the data frequency to the ultimate limit
for some financial markets: time stamped transaction-by-transaction or tick-by-tick
data, referred to as ultra-high-frequency data by Engle (2000). For equity markets,
the Trades and Quotes (TAQ) database of the New York Stock Exchange (NYSE)
contains all recorded trades and quotes on NYSE, AMEX, NASDAQ, and the regional
exchanges from 1992 to present. The Berkeley Options Data Base recorded similar
data for options markets from 1976 to 1996. In foreign exchange markets, Olsen
Associates in Switzerland maintains a data base of indicative FX spot quotes for
many major currency pairs published over the Reuters’ network since the mid 1980’s.,2009-06-10 05:11:16,下载13次