Gauss Programs

Users of Gauss Version less than 3.6 (Windows) will have to change the filename to 8 characters only. Note that the Gauss programs on this page have 'long' filenames.

Quantitative Financial Economics (2nd edition)

Chp14 FairBet.txt

The following Gauss files may be of interest to QFE readers. They are listed below under Financial Engineering : Derivatives and Risk Management.

B-Scholes.txt
Greeks.txt
Tab7 VaR-FRA.txt
VaR-Forward-FX.txt
VaR-Stocks.txt
Tab3 VaR-Option.txt
VaR-MCS-Cholesky.txt

Financial Engineering : Derivatives and Risk Management

Readme.doc

Chp03-04 SIF-FX-Futures.txt
Chp05 TBill Futures.txt
Chp08 BOPM=BSCHOLES.txt
Chp09 B-Scholes.txt
Chp09 Fig6 Jump diffusion.txt
Chp09 Greeks.txt
Chp09 Q6 Vega Neutral.txt
Chp10 Butterfly Payoff.txt
Chp10 Fig1 Leeson.txt
Chp10 Single Payoff.txt
Chp10 Spread Payoff put.txt
Chp10 Spread Payoff call.txt
Chp10 Straddle Payoff.txt
Chp10 Strangle Payoff.txt
Chp11 Tab4 Pricing currency options.txt
Chp13 Tab3 Port Ins (Futures).txt
Chp13 Tab4 Port Ins (Bonds).txt
Chp14 Swaps.txt
Chp15 Tab1 Caplet Payoff.txt
Chp15 Tab2 Floorlet Payoff.txt
Chp15 Tab3 Int rate cap.txt
Chp15 Tab4 Int rate floor.txt
Chp15 Tab5 Int rate collar.txt
Chp16 Asian Option.txt
Chp18 Tab2 Int rate lattice.txt
Chp18 Tab3 Pricing Coupon Bond.txt
Chp18 Tab4 European call option.txt
Chp18 Tab5 American call option.txt
Chp18 Tab6 Pricing callable bond.txt
Chp18 Tab7 Pricing FRN (capped).txt
Chp18 Tab8 Pricing FRN (floored).txt
Chp18 Tab9 Pricing FRN (collared).txt
Chp23 Tab7 VaR-FRA.txt
Chp23 VaR-Forward-FX.txt
Chp23 VaR-Stocks.txt
Chp24 Tab3 VaR-Option.txt
Chp24 VaR-MCS-Cholesky.txt