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updated 3 years ago

Review of Discrete and Continuous Processes in Finance by Attilio Meucci

discrete-time and continuous-time processes for finance, theory and empirical examples (finance, statistics, portfolio management)

AnalyzePersistence(Data,AggregationPersistence,LagsSamplA...

AnalyzeVarianceAggregation(Dates,Data,AggregationVariance...

Data=FilterJumps(Dates,Data,Name)

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updated 3 years ago

Managing Diversification by Attilio Meucci

Entropy-based mean-diversification efficient frontier (portfolio management, financial engineering, quantitative finance)

GenFirstEigVect(S,A)

MaxEntropy(G,w_b,w_0,Constr)

[E,L,G]=GenPCBasis(S,A)

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updated 3 years ago

Simulations with Exact Means and Covariances by Attilio Meucci

Exact multivariate normal simulation (finance, statistics, portfolio management)

X=MvnRnd(M,S,J)

S_Test.m

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