4.2 | 11 ratings Rate this file 79 downloads (last 30 days) File Size: 352.16 KB File ID: #14508

Pricing Derivatives Securities using MATLAB

02 Apr 2007 (Updated 03 Apr 2007)

No BSD License

Examples of pricing derivatives securities using MATLAB

File Information
Description	A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB". Highlights: * Pricing a portfolio of vanilla options using Black-Scholes, a Binomial Tree and Monte Carlo simulation. * Pricing exotic options using the implied trinomial tree (ITT) method * Hedging using derivatives * Pricing interest rate derivatives using the BDT model
Required Products	Datafeed Toolbox Financial Derivatives Toolbox Financial Toolbox Optimization Toolbox Spreadsheet Link EX Statistics Toolbox
MATLAB release	MATLAB 7.4 (R2007a)
Zip File Content
Other Files	ITTexample.xls, optionvanilla.m, portbrowser.fig, portbrowser.m, Pricing_Derivatives_Securities_Using_MATLAB.ppt, treedemonew.mat, treedemonew.m, exampleBDT.m, exampleCRR.m, examplemonteBS.m

Tags for This File
Everyone's Tags	analysis, derivatives securities, finan, finance, mathworks, modeling, pricing, securities, webinar
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Comments and Ratings (12)
05 Apr 2007	raj singh	excellent stuff
10 Apr 2007	hussain sher	that's the good
12 Apr 2007	Gavin Curran	Very useful examples.
23 Apr 2007	Zhao yuxiang
30 Jul 2007	denise Leo
05 Jun 2008	octavianus wu
16 Jul 2008	Magesh Ranganathan
05 Aug 2008	shobhan mandal
20 Nov 2008	Thecloser
05 Dec 2008	xq ji	Good work! It's very useful for me.
20 May 2009	Ray	This is an excellent example.I hope more webinar will come up for this FinDeri Toolbox
10 Aug 2009	Kim Chiang

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Tag Activity for this File
Tag	Applied By	Date/Time
finance	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59
modeling	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59
analysis	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59
derivatives securities	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59
webinar	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59
mathworks	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59
pricing	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59
securities	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59
finan	Mayeda Reyes-Kattar	22 Oct 2008 09:06:59

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