Welcome to the MATLAB Web Site
of
Eric JONDEAU & Michael ROCKINGER
Various
In this page we assembled all the codes that do not correspond to any of the other subjects.
Various codes
| m file |
Description |
| cvar.m |
Computation of expected shortfall under VaR constraint. |
Download |
| Cvarhist.m |
Computation of expected shortfall under VaR constraint using historical data. |
Download |
| EasleyKieferOHara.m |
Implements the Easly - Kiefer- O'Hara algorithm simulate orders. |
Download |
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Université de Lausanne - HEC : Eric Jondeau & Michael Rockinger
©Copyright 2009, Michael Rockinger.
