Exercises and case studies for a rigorous approach to risk- and portfolio-management. This booklet stems from the review sessions of the six-day ARPM bootcamp.
Advanced multivariate statistics; copula-marginal decomposition
Annualization/projection (FFT, cumulants, simulations)
Pricing: exact; first order (delta/duration); second order (gamma/convexity)
Quest for invariance (stationarity,...
These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see http://www.symmys.com
The routines include many new features:
- more uni-, multi- and matrix-variate distributions
The files in this folder solve the optimization case studies described in the paper "VaR vs CVaR in Risk Management and Optimization" by Sarykalin,S., Serraino,G., and Uryasev,S., in Tutorials in Operations Research, INFORMS 2008...
FisherManometer creates a MATLAB object that gets
pressure measurements from a Fisher Science digital manometer (Fisher Science Education Traceable Manometer/Pressure/Vacuum Gauges, Catalog number: S98189)
through a serial interface.
A simple, fast and short code for beginners, who cares about Fisher's Exact Test, .
As a beginner, at least you need to know what we do with Fisher's Exact Test (see ). My function is simple,
The Fisher4Cast suite provides a standard, tested tool set for general Fisher Information matrix prediction and forecasting for use in both research and education. The toolbox design is robust and modular, allowing for easy additions and...
This PHP Debugging class provides a very good Var-Debug in php. It can display Variables with all kinds of datatypes. I can declare a limit fr the recursion if u want to display large objects or Array and don't want to dive too deep.
In a little Prolog interpreter I'm writing I needed a simple and concise way to create Var-objects and also store them in a mapping varname -> Var-object representing the scope of the current Prolog rule. Also, anonymous Prolog variables...
It took me a while to figure out the file format for /var/log/lastlog on *NIX type machines. Some of the sysadmins out there may find it usefull to be able to determine the last time of login for an account without using any other apps.
To use this function just define a variable say var,
var = pnseq(a, b, c);
for a, b and c refer to the zip file