• Premia

  • Referenced in 1 article [sw21216]
  • designed for option pricing, hedging and financial model calibration. It is provided with ... Equity Derivatives in Black-Scholes and Heston models; Pricing and Hedging of Equity Derivatives...
  • Option Pricing Toolbox

  • Referenced in 1 article [sw24630]
  • according to many of the most popular models used in the option pricing literature. Among ... Scholes, JPE 1973, Heston, RFS 1993, Double Jump model of Duffie, Pan, and Singleton...
  • EVIM

  • Referenced in 9 articles [sw00255]
  • EVIM: a software package for extremel value analysis...
  • LAPACK

  • Referenced in 1503 articles [sw00503]
  • LAPACK is written in Fortran 90 and provides...
  • Maple

  • Referenced in 4663 articles [sw00545]
  • The result of over 30 years of cutting...
  • Mathematica

  • Referenced in 5178 articles [sw00554]
  • Almost any workflow involves computing results, and that...
  • Matlab

  • Referenced in 10365 articles [sw00558]
  • MATLAB® is a high-level language and interactive...
  • SPRNG

  • Referenced in 41 articles [sw00905]
  • Algorithm 806: SPRNG: A Scalable Library for Pseudorandom...
  • UMFPACK

  • Referenced in 277 articles [sw00989]
  • An ANSI C code for sparse LU factorization...
  • XploRe

  • Referenced in 54 articles [sw01128]
  • XploRe is the name of a commercial statistics...
  • QUADPACK

  • Referenced in 232 articles [sw01236]
  • Fortran subprograms for evaluating definite integrals of functions...
  • FreeFem++

  • Referenced in 739 articles [sw01436]
  • FreeFem++ is an implementation of a language dedicated...
  • L-BFGS

  • Referenced in 623 articles [sw03229]
  • Algorithm 778: L-BFGS-B Fortran subroutines for...
  • RODAS

  • Referenced in 1304 articles [sw04112]
  • Rosenbrock method of order 4(3), for problems...
  • levmar

  • Referenced in 43 articles [sw04809]
  • levmar : Levenberg-Marquardt nonlinear least squares algorithms in...
  • sparseLM

  • Referenced in 5 articles [sw04810]
  • sparseLM : Sparse Levenberg-Marquardt nonlinear least squares in...
  • UNCMND

  • Referenced in 88 articles [sw05265]
  • NCMND minimizes a smooth nonlinear function of n...
  • TAPENADE

  • Referenced in 113 articles [sw06598]
  • TAPENADE is an Automatic Differentiation Engine developed at...