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updated almost 7 years ago

Mean-variance portfolio optimization using GA and PATTERNSEARCH by Dimitri Shvorob

(A not-too-serious experiment / code sample) (finance, modeling, analysis)

Mean-variance portfolio optimization using GA and PATTERN...

util(Wts)

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updated almost 7 years ago

Model a mortgage-backed security by Dimitri Shvorob

(Application of CFEVAL) (finance, modeling, analysis)

CFEVALDEMO2

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updated almost 7 years ago

Simulate a Cox-Ingersoll-Ross process by Dimitri Shvorob

(Exact algorithm) (finance, modeling, analysis)

CIRPATHDEMO

cirpath(t,a,b,s,r0)

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updated almost 7 years ago

Evaluate debt instrument's cash flows by Dimitri Shvorob

(given their symbolic definition) (finance, modeling, analysis)

CFEVALDEMO1

cfeval(pofun,cpfun,psfun,ppfun,varargin)

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updated 4 years ago

Discrete Time Option Pricer for Jump Diffusion Processes by Nils Delava

Finds value of a European option using lattice methodology under a Merton Jump Diffusion process. (finance, option, jumpdiffusion)

[answer]=JDEuropean(S0,X,r,T,sigma,D,lambda,v,mu,n,flag1)

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updated almost 4 years ago

Speeding Up Optimization Problems with Parallel Computing by Stuart Kozola

Files from the webinar: Speeding up optimization problems with parallel computing (aerospace, automotive, demo)

Electron Problem Optimization

First Order Reliability Method using a Simulink Flutter M...

computebestportfolioPCT(expRet,expCov,portSize,targetRet)

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updated 6 years ago

Simulate a Hawkes process by Dimitri Shvorob

(and visualize it) (statistics, probability, hawkes intensity poin...)

HAWKESDEMO: Simulate and visualize a Hawkes process

inthawkesm(m,t,H,par)

showhawkesm(m,t,H,par)

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updated 4 years ago

Modeling Variable Annuities with MATLAB by Yi Wang

This demo shows how to price variable annuity product (Guaranteed Minimum Withdrawal Benefit) (va, variable annuities, variable annuity)

GMWB Demo

calcGMWB(tickers, holdings, startDate, endDate, aWRate, a...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

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