代码题库

American Put Pricing via Longstaff-Schwartz Least-Squares Monte Carlo

Antithetic Variates Variance Reduction

Bond Portfolio Key-Rate Duration Hedge via Least Squares

Card Shuffle Bias Detection

CIR Short-Rate MLE Calibration on a Historical Series

Credit Portfolio MC Loss Distribution (Single-Factor Gaussian Copula)

Empirical Copula via Per-Column Uniform Rank Transform

Empirical Inverse-CDF Marginal Mapping (Copula Pipeline, Step Two)

Empirical Mean Excess Function for POT Threshold Selection

Empirical Upper-Tail-Dependence Coefficient from Bivariate Samples

Gaussian-Copula Correlated Samples via Cholesky Factorisation

GPD Tail-VaR Extrapolation under the POT Framework

Bivariate Gumbel-Copula CDF Closed-Form Evaluation

HDR Histogram Recorded-Value Bucket Index and Quantile Estimate

Hill Estimator for the Tail Index of a Heavy-Tailed Loss Distribution

Importance Sampling for Deep OTM Monte Carlo

Merton Jump-Diffusion European Call via Monte Carlo

Mahalanobis Distance via Cholesky Forward-Solve

Maximum-Diversification Portfolio (Choueifaty-Coignard)

Long-Only Mean-Variance Efficient Frontier

Multi-Leg Implementation Shortfall — Basket Covariance Attribution

Multi-Level Monte Carlo for a European Call

Multi-Period Impact P&L with Exponential Decay Between Periods

Rank Features by Histogram-Estimated Mutual Information with the Target

Online PCA via Oja's Rule (Streaming PC1)

Pareto Tail VaR via Hill-Estimator Extrapolation

Optimal Ledoit-Wolf Shrinkage (Frobenius)

Purged k-Fold Cross-Validation for Time-Series ML

Spearman Rho and Kendall Tau-b: Dual Rank-Correlation Diagnostic for the Copula Pipeline

Realized-Volatility Jump Test (Barndorff-Nielsen and Shephard)

Risk-Budget Allocation via Iterative Fixed-Point

Rolling Engle-Granger Cointegration Test for Pairs Trading

Rolling-Window Variance Ratio Test (Lo-MacKinlay)

Spectral Risk Measure (Acerbi 2002)

Fit the Square-Root Market-Impact Coefficient by Weighted Least-Squares

European Call MC with Stratified Sampling on Terminal Z

Svensson (1994) 6-Parameter Yield-Curve Fit

SVI Slice Fit with No-Butterfly-Arbitrage Constraint

t-Copula Correlated Samples via Cholesky and Chi-Square Scaling

T-Digest Streaming Percentile Estimator (k_1 Scale Function)

Vasicek ASRF Capital Factor at Confidence Level Alpha (Basel IRB)

Vasicek Short-Rate MLE Calibration on a Historical Series

Walk-Forward Validation for Time-Series Backtests