Financial is dedicated to finance and its functions cover three main areas:
Risk measure and risk management: Computation of Value at Risk (VaR), Expected Shortfall (ES), Spectral Risk Measures, Extreme Value Theory framework (EVT and Mean Excess Function), Backtesting, Bond Duration and Convexity (with Yield to Maturity), Delta Hedging, Models for interest rates (Merton, Vasicek, Cox Ingersoll and Ross, Nelson-Siegel, Svennson),
Optimal asset allocation: Optimal mean-variance portfolio and Optimal portfolio maturityminimizing the Expected Shortfall,
Pricing: Computing Interest Rate Swaps spread, Computing the value (and Greeks) of options in the Black and Scholes framework, Simulating stochastic processes.
Install Financial
in the Scilab console, type: ---> atomsInstall Financial
or
click on the menu bar on, Applications > Module Manager – ATOMS, select Financial and click on Install button.
