Like a last minute goal, so to speak, Andreas Groll and Gunther Schauberger of Ludwig-Maximilians-University Munich announced their predictions for the FIFA World Cup 2014 in Brazil - just hours before the opening game. Andreas Groll, with his successful prediction of the European Championship 2012 already experienced in this field, and Gunther ... [Read more...]

Real world quantitative risk management is more than deriving risk from a given model. In reality, we do know neither the true structure of the model, nor its parameters. Hence, measuring risk in reality always entails estimation risk and model risk. [Read more...]

Analyzing SP500 volatility paths for common underlying factors [Read more...]

R packages to provide more interactive and richer user experience: knitr, rCharts, slidify, shiny and OpenCPU. [Read more...]

summary of programming style conventions in R and MATLAB [Read more...]

Using R, we show how to download historic stock prices for all S&P500 components from Yahoo!Finance. We visualize missing data, and process stock prices to get clean daily logarithmic returns. The data then could readily be used in financial applications like risk management or asset management. [Read more...]

Location-scale extension for Student's t-distribution in R [Read more...]