Popular repositories

1. ukfRcpp ukfRcpp Public

   Quick and dirty implementation of the Unscented Kalman Filter with Additive Noise for State Estimation, see algorithms in pp. 108-109 and 115-116 of 'Sigma-Point Kalman Filters for Probabilistic In…

   C++ 6 1

2. affineModelR affineModelR Public

   R package for working with multifactor stochastic volatility models, as in Duffie, Pan and Singleton (2000) 'Transform Analysis and Asset Pricing for Affine Jump-Diffusions'

   R 5 1

3. FamaFrenchData FamaFrenchData Public

   R package for download and tidying of the Kenneth French data library

   R 5 2

4. OMTRaccess OMTRaccess Public

   Functions for handling OptionMetrics via WRDS and R

   R 5 1

5. myWrdsAccess myWrdsAccess Public

   Connect to WRDS and query some table properties

   R 2 1

6. transformOptionPricer transformOptionPricer Public

   Characteristic-function based option pricer.

   R 1 1