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financial 0.5.0 released


From: Parsiad Azimzadeh
Subject: financial 0.5.0 released
Date: Tue, 02 Feb 2016 19:15:46 +0000

Hi all,

I am happy to announce the release of financial 0.5.0 [1].

Perhaps the most exciting addition in this version is the Monte Carlo simulation framework (see, e.g., [3]), which is significantly faster than its MATLAB counterpart [4].

Other additions include Black-Scholes options and greeks valuation routines, implied volatility calculations, and general bug fixes.

[1] http://octave.sourceforge.net/financial/
[2] http://octave.sourceforge.net/financial/NEWS.html
[3] http://octave.sourceforge.net/financial/function/@sde/simulate.html
[4] http://parsiad.ca/post/simulate-sdes-in-gnu-octave-financial-package/
--
Parsiad Azimzadeh [http://parsiad.ca]
PhD candidate

DC 3594 - University of Waterloo,
200 University Avenue West,
Waterloo, ON N2L 3G1

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