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[edit] A Simple and Extremely Fast C++ Template for Matrices and Tensors

by M.A. van den Berg, August 2007 A minimalistic C++ template for easy & fast matrix manipulation.

[edit] Calculating Correlation and Means with Missing Data»

by M.A. van den Berg, August 2007

This article shows how to solve the estimation of correlations and means of datasets with missing data.

[edit] Digital Spread Options»

by M.A. van den Berg, July 2007

Pricing formula for digital spread options. The digital spread option gives a fixed cash payment when the difference between two assets exceeds a predefined level at some fix future point in time.

[edit] Calibrating the Ornstein-Uhlenbeck model»

by M.A. van den Berg, July 2007

Two methods are described for calibrating the model parameters of an Ornstein-Uhlenbeck process to a given dataset.

• The least squares regression method
• maximum likelihood method

[edit] Ornstein-Uhlenbeck process »

by M.A. van den Berg, June 2007

Using the Ornstein-Uhlenbeck process. This article describe the main properties of the Ornstein-Uhlenbeck process, how to do Monte Carlo simulations and how to calibrate the model to historical data. read more »

[edit] Calculating the Cumulative Normal Distribution »

by M.A. van den Berg

The cumulative normal distribution with C++ and VBA source code. read more »

[edit] Probability of the High of Geometric Brownian Motion »

by M.A. van den Berg

This article describes the probability distribution of the high of a geometric Brownian motion. An equation is given that calculates the probability that the high is above a certain level H within a given timeframe 0<t<T. read more »

[edit] Generating Normal Distributed Random Numbers »

by M.A. van den Berg

The 5 most common methods for generating normal distributed random numbers. read more »

[edit] Generating Correlated Random Numbers »

by M.A. van den Berg

Common methods for generating correlated random numbers. read more »