Matlab and R programs for financial engineering applications

Matlab programs

Companion Matlab programs for the book Statistical Methods for Financial Engineering. Also, Matlab programs for Chapter 5 on Interest Rate Models.

Matlab function used in the article Testing for equality between two copulas.

Matlab programs used in my workshop on GARCH models in Financial Engineering (2015 Statistical Society of Canada annual meeting).

R programs

Companion R programs for the book Statistical Methods for Financial Engineering. Chapter 5 programs have been corrected. Also, you can install the R package SMFI5 on CRAN containing all R functions used in Chapter 5.

R package TwoCop on CRAN used in the article Testing for equality between two copulas.

R functions used in my workshop on GARCH models in Financial Engineering (2015 Statistical Society of Canada annual meeting).

R lecture notes used in my workshop on GARCH models in Financial Engineering (2015 Statistical Society of Canada annual meeting).