Mathematics, Finance,Mathematical Finance, Financial Mathematics

Monday, March 21, 2005

Research Topic

Current Research Interest:
  1. Dynamic Risk Measures: VaR, CVaR, Coherent Risk Measures
  2. Independent Components and Copulas
Offshore Topics:
  • Assessing the Policy response to extreme events and the use of Extreme Value Theory
  • Robust policy design and the use of H infinty methods
  • Decision making in the face of uncertainty as opposed to risk
  • The evolution of asset price bubbles
  • Environmental Finance- the use of markets to manage pollution and the impact of extreme climate conditions on financial markets
  • The use of Energy Derivatives
  • Operational Risk in Financial Markets
  • The computation of Capital requirements to meet regulatory limits
  • Basle II
  • Theoretical issues in the measurement of Risk
  • Portfolio design with quantile constraints
  • Quantile based risk measures and causality
  • The management of jointrRisks and the Use of Copulae
    Ref: WBS,UK

Coherent, Convex, and Monetary Risk Measures

Value at Risk

Dependence Measures and Copulas



Monday, March 14, 2005

Financial Data

The image “http://www.cbot.com/cbot/pub/siteimages/mainheader_left.jpg” cannot be displayed, because it contains errors.
The image “http://www.federalreserve.gov/gifjpg/sm_head2.gif” cannot be displayed, because it contains errors.

The image “http://www.econ-datalinks.org/bande.gif” cannot be displayed, because it contains errors.


FxHistory: historical currency exchange rates

Friday, March 11, 2005

Financial Modelling in C++,VBA,S-Plus

Mathtools.Net

MATLAB
Aerospace, Algorithms and Data structures, Astronomy, Automotive...

Excel
Accounting and organizers, Add-on functions, Algorithms and Data structures, Astronomy...

C,C++
Algorithms and Data structures, Astronomy, Biotechnology, Books and Tutorials...

Java
Algorithms and Data structures, Astronomy, Biotechnology, Books and Tutorials...

Fortran
Algorithms and Data structures, Biotechnology, Books and Tutorials, Calculus...

Visual Basic
Add-on functions, Biotechnology, Books and Tutorials, Converters...

Applications and Industries
Aerospace, Astronomy, Automotive, Biotechnology...

Learning and Education
Books and Tutorials, Jobs, Reference and documentation, Seminars Conferences and Tradeshows...

Financial Numerical Recipes
This is a discussion of algorithms and computer code for advanced financial calculations. It was written for use in a course teaching derivative securities. It contains the basic and some advanced algorithms for option pricing, and some algorithms dealing with term structure modeling and pricing of fixed income securities.
All computer code is in the C++ language, and implemented as self-contained subroutines that can be compiled on any standard C++ compiler.

VB Numerical Methods
This site is designed for practitioners, researchers, and students as a tool for programming in EXCEL VBA. Users of this site can search for commonly used finance or math code, post their own code and participate in the VB Numerical Methods discussion Forum.

Financial Numerical Recipes in C++

Matlab Links




ExcelTIP

"Advanced Modelling in Finance using Excel and VBA" by Jackson and Staunton, eBooks
http://www.it-ebooks.com/

Web Pages that Perform Statistical Calculations!
( StatPages.net )
The web pages listed here comprise a powerful, conveniently-accessible, multi-platform statistical software package. There are also links to online statistics books, tutorials, downloadable software, and related resources. All of these resources are freely accessible.

Gauss Resources
R-Project


Finance Forum Site List & E-Books