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A Trader's Guide To Quantitative Methods (Donít Panic ):

Basic Maths & Stats

Accompanying Software Release Notes

Available at the ARTShop

(528+944/1,143 colour pages, soft cover, +software)

 

See the entire TG2 Series

 

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The TG2QM:BM&S book has accompanying software downloadable by registered owners. 

Table of Contents

1	Package Contents and Basic Requirements
1.1	Agreement
1.2	TG2Functions, Add-ins, Macros, and Requirements
2	Windows Applications
OPTRIX: a mini position/portfolio risk/reward analysis package for structuring simple/Exotic positions
QEF/MVO: a fully functional Mean-Variance Optimisation based Asset Allocation "optimiser"
2	The Workbooks/Spreadsheets
Read Me 1st .. or else			
C3 - Slopes etc			- bond and option hedging
C4 - Quadrature Dig Option	- option valuation
C5 - BP Histogram Diffs		- statistical characterisation of market processes
C5 - Hist vs Moments		- histogram vs summary measure methods
C5 - Wgtd Stats			
C6 - 2-D Normal CDF			
C10 - Splines - Simple		- e.g. for yield curves, plus illustration of matrix methods
C10 - Splines -Adptv Corrective	- e.g. for yield curves
C10 - Purcell MLE			
C10 - ANOVA 1			
C11 - Bisection			- bond IRR example
C11 - Newton			- option implied vol example
C11 - Vect Newton		- bond immunisation example
C15 - S&P TSA			
C16 - LP-QP			- MVO asset allocation example
C17 - MC Basic						
C17 - Simple MC Opt		- vanilla and Barrier option example			
C17 - Basic Tree		- forward/backward induction for European & American options			
C17 - BDT Tree			- BDT term-structure example			
C17 - Explicit FD		- option pricing with Finite Difference example.			
 
3	VBA Source Code (custom functions)
Function DSINH
Function DCOSH
Function TG2_AJM_EWMA_Initialize
Function TG2_AJM_EWMA_UpDate
Function TG2_AJM_EWMA_Variance
Function TG2_MC_SimpleCall1
Function TG2_Box_Muller1
Function TG2_MC_XOpt_SimpleKO1
Function TG2_DensityLogNorm_MV_T1
Function TG2_DensityBiNorm
Function TG2_CumBiNorm
Function TG2_NormBV
Function TG2_CumNorm
Function TG2_FCumNorm
Function DensityNorm_01
Function TG2BlackScholes
Function TG2BlackScholesResNames
Function TG2_MC_Iterator1 

    
References

 

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Last modified: July 25, 2011