Financial Derivatives

Design, price, and hedge financial derivative instruments

A financial derivative instrument is a contract between two parties that specifies how payments or financial assets are exchanged between the parties based upon the value of a specified underlying financial asset.  The payments are linked, or derived, from the value of the underlying asset, and specified in the contract in terms of the notional amount, dates of exchange, and variables associated with the underlying asset.

You can price and analyze individual and portfolios of equity, credit, and fixed-income derivatives using MATLAB®. You can use the toolbox to compute prices and sensitivities, view price evolutions, and perform hedging analyses.  The toolbox provides support for interest rate derivatives like bonds, options, swaps, swaptions, floating rate notes, caps, bonds with embedded options, as well as several exotic equity options like basket options, digital options, and rainbow options.

Examples and How To

Software Reference

See also: credit risk, fixed-income, Financial Toolbox, binomial model, financial derivatives videos