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Highlights from
Pricing Derivatives Securities using MATLAB

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Pricing Derivatives Securities using MATLAB

by Mayeda Reyes-Kattar

 

02 Apr 2007 (Updated 29 Oct 2010)

Examples of pricing derivatives securities using MATLAB

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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)
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analysis, derivatives securities(2), finan, finance, mathworks, modeling, pricing, securities, webinar(2)
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Comments and Ratings (12)
10 Aug 2009 Kim Chiang  
20 May 2009 Ray

This is an excellent example.I hope more webinar will come up for this FinDeri Toolbox
05 Dec 2008 xq ji

Good work! It's very useful for me.
20 Nov 2008 Thecloser  
05 Aug 2008 shobhan mandal  
16 Jul 2008 Magesh Ranganathan  
05 Jun 2008 octavianus wu  
30 Jul 2007 denise Leo  
23 Apr 2007 Zhao yuxiang  
12 Apr 2007 Gavin Curran

Very useful examples.
10 Apr 2007 hussain sher

that's the good
05 Apr 2007 raj singh

excellent stuff
Updates
27 Oct 2010

Added BSD license
27 Oct 2010

BSD license
27 Oct 2010

Converted a Powerpoint file to a pdf file.
29 Oct 2010

Per Leslie's request, removed most of the slides except the ones needed to explain the examples.

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