Sebastian Ferrando

Software

The software packages and libraries made available here are related to preprints and technical reports listed elsewhere in this web page. They were all developed under Linux unless otherwise indicated.

Financial Mathematics
Gaussian Processes for Financial Time Series, a C++ Implementation. Library (tar-zip file) martingalePricing: A C++ Template Library to Price Financial Derivatives on Trees. Library (tar-gzip file) HaarHedging: A C++ implementation of Haar systems for Black-Scholes model. Library (tar-gzip file) Localized MC . Library (tar-gzip file)
Signal Analysis
Wave++ is a C++ library for adaptive wavelet analysis, the library and all the documentation can be downloaded here. here.