Code examples
Side-by-side code comparisons in R, MATLAB, Python and Julia — every listing from the book, chapter by chapter.
App. Appendix — Introduction 1 Financial Markets, Prices and Risk 2 Univariate Volatility Modeling 3 Multivariate Volatility Models 4 Risk Measures 5 Implementing Risk Forecasts 6 Analytical Value-at-Risk for Options and Bonds 7 Simulation Methods for VaR for Options and Bonds 8 Backtesting and Stress Testing 9 Extreme Value Theory
License (GPL v3)
Copyright 2011 – 2026 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.