Interpolation

This is a file help you to perform linear, polynomial or cubic spline interpolation. Is a flexible file that let you choose the kind of interpolation and the amount of original data points. Usefull for interpolate Interest Rates, Implied Volatility, etc.

Click here to downlaod the file and perform some interpolations

Options Calculator

Here I share with you an option calculator using Black-Scholes formula. With this calculator you are going to be able to obtain the Price and all the Greeks for European Calls and Put Options

Click here to download the calculator

Informe Banco Central de la República Argentina

Deuda Externa del Sector Privado

Some of my work at the Central Bank....good memories

Deuda Externa Privada - IV Trim 2010

Principal Components Analysis on US Treasury yield curve

In this paper we analyse the evolution of the PC of the US Term Structure in the last ten years, and the effect of the FED interventions on them.

I wrote this paper with Andrés Jaime and Julio Ruiz. Special thanks for them. Code with MATLAB

Link to the paper

Linear Regression Analysis

Here I applied Linear Regression Analysis to a hipotetical data set. This is a good guide to don't forget any step on the estimation and diagnostics necessaries to perform a good Linear Regression.
This time I use R for coding.

Link to the paper