Code Examples
Side-by-side code comparisons in R, Matlab, Python and Julia
Appendix - Introduction → Chapter 1. Financial Markets, Prices and Risk → Chapter 2. Univariate Volatility Modeling → Chapter 3. Multivariate Volatility Models → Chapter 4. Risk Measures → Chapter 5. Implementing Risk Forecasts → Chapter 6. Analytical Value-at-Risk for Options and Bonds → Chapter 7. Simulation Methods for VaR for Options and Bonds → Chapter 8. Backtesting and Stress Testing → Chapter 9. Extreme Value Theory →
License (GPL v3)
Copyright 2011 - Jon Danielsson. This code is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. This code is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details. The GNU General Public License is available at: www.gnu.org/licenses.