• SparseMatrix

  • Referenced in 617 articles [sw04629]
  • geometry (as structural engineering, computational fluid dynamics, model reduction, electromagnetics, semiconductor devices, thermodynamics, materials, acoustics ... geometry (optimization, circuit simulation, economic and financial modeling, theoretical and quantum chemistry, chemical process simulation...
  • QRM

  • Referenced in 637 articles [sw11358]
  • aggregation concepts, risk-management techniques for financial econometricians. Material from various chapters could be used ... analysis, time series analysis and generalized linear modelling...
  • StFinMetrics

  • Referenced in 34 articles [sw29976]
  • Modeling financial time series with S-Plus. This book can be considered as a users ... Corporation for the statistical analysis and modelling of financial time series. But the book ... analysis of vector autoregressive and multivariate GARCH models; modelling of long memory time series (including...
  • CreditRisk+

  • Referenced in 41 articles [sw31697]
  • insurance industry are used to model the sudden event of an obligor default. This approach ... techniques typically used in finance. In financial modelling one is usually concerned with modelling continuous...
  • XploRe

  • Referenced in 59 articles [sw01128]
  • semiparametric modelling and the statistics of financial markets...
  • quantmod

  • Referenced in 14 articles [sw09998]
  • package quantmod: Quantitative Financial Modelling Framework: Specify, build, trade, and analyse quantitative financial trading strategies...
  • CAViaR

  • Referenced in 136 articles [sw04424]
  • standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile ... conditional autoregressive value at risk (CAViaR) model specifies the evolution of the quantile over time...
  • basta

  • Referenced in 11 articles [sw29265]
  • heteroscedastic processes. The emergence of the recent financial crisis, during which markets frequently underwent changes ... illustrates the importance of non-stationary modelling in financial time series. Motivated by this observation ... auto-regressive conditional heteroscedastic model for financial returns with piecewise constant parameter values. Our method...
  • fGarch

  • Referenced in 24 articles [sw09994]
  • fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling: Environment for teaching ”Financial Engineering and Computational Finance...
  • Dynare

  • Referenced in 69 articles [sw12305]
  • models solved by Dynare can incorporate consumers, productive firms, governments, monetary authorities, investors and financial...
  • OxMetrics

  • Referenced in 12 articles [sw00664]
  • econometric analysis of time series, forecasting, financial econometric modelling, or statistical analysis of cross-section...
  • GAMS Model

  • Referenced in 8 articles [sw21987]
  • GAMS/EMP. GAMS API Library - includes GAMS Models used as scripts to compile and execute application ... GAMS. FIN Library - includes GAMS practical financial optimization models described in the book Practical Financial ... Financial Engineers by Consiglio, Nielsen and Zenios, NOA Library - includes GAMS nonlinear optimization applications models...
  • S+FinMetrics

  • Referenced in 7 articles [sw07848]
  • advanced analytic-rich software for modeling, analyzing, and visualizing financial market data. The software offers ... tool available for precise, predictive econometric modeling of financial time series. Version...
  • Sim.DiffProc

  • Referenced in 7 articles [sw17081]
  • modeling practical problems, in financial and actuarial modeling and other areas of application. For example...
  • SQG

  • Referenced in 19 articles [sw00907]
  • multiperiod dynamic stochastic models with parametrized decision rules. Supply chain management, financial applications, telecommunications...
  • FRAPO

  • Referenced in 3 articles [sw17239]
  • package FRAPO: Financial Risk Modelling and Portfolio Optimisation with R. Accompanying package of the book ... Financial Risk Modelling and Portfolio Optimisation with R’, second edition. The data sets used...
  • DiffProc

  • Referenced in 5 articles [sw14956]
  • analyse practical problems, in financial and actuarial modeling and other areas of application, for example...
  • MATLAB Financial Toolbox

  • Referenced in 4 articles [sw07147]
  • provides functions for mathematical modeling and statistical analysis of financial data. You can optimize portfolios...
  • FIN-STAB

  • Referenced in 2 articles [sw30081]
  • software takes as input a specific model of financial networks with interlocked balanced sheets ... based on a pre-defined set of models. This software can be used to study ... stability properties of these types of financial networks with the topology and other parameters...
  • fArma

  • Referenced in 4 articles [sw09992]
  • package fArma: ARMA Time Series Modelling: Environment for teaching ”Financial Engineering and Computational Finance...