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Pricing Derivatives Securities using MATLAB

4.2 | 11 ratings Rate this file 9 Downloads (last 30 days) File Size: 330 KB File ID: #14508 Version: 1.6
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Pricing Derivatives Securities using MATLAB



02 Apr 2007 (Updated )

Examples of pricing derivatives securities using MATLAB

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A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB".

* 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
Statistics and Machine Learning Toolbox
MATLAB release MATLAB 7.4 (R2007a)
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Comments and Ratings (12)
10 Aug 2009 Kim Chiang

20 May 2009 Ray

Ray (view profile)

This is an excellent example.I hope more webinar will come up for this FinDeri Toolbox

05 Dec 2008 xq ji

xq ji (view profile)

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

Comment only
27 Oct 2010 1.1

Added BSD license

27 Oct 2010 1.2

BSD license

27 Oct 2010 1.4

Converted a Powerpoint file to a pdf file.

29 Oct 2010 1.6

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

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