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updated 3 months ago

First derivative of (normalized) associated Legendre polynomials by Rody Oldenhuis

First derivative of (normalized) associated Legendre polynomials (legendre, associated legendre p..., derivative)

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updated 5 months ago

Smooth Robust Differentiators by Jason Nicholson

numerical differentiation with noise suppression (differentiation, derivatives)

robustDiff(y, dt, N)

robustDiffOneSide(y, dt, N)

Contents.m

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updated almost 2 years ago

COS Method (Multiple Strikes, Bermudan, Greeks) by Kienitz Wetterau FinModelling

Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once (cos, multiple strikes, bermudan)

CF(model,u,T,r,d,varargin)

FFTCOS_B(n, Nex, L, c, cp, type, S0, t, r, q, ...

FFTCOS_B_2(n, Nex, L, c, cp, type, S0, t, r, q, ...

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updated 2 years ago

Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. by Haidar Haidar

This computes an approximation of American Put option value and can plot it against asset's price (blackscholes, option valuation, derivatives)

[P,S,S_SS]=A_Put_Adesi_Whaley(S,E,r,sigma,T)

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updated 2 years ago

ZEROBESS by Jonas Lundgren

Zeros of Bessel functions of 1st and 2nd kind plus zeros of the derivatives. (mathematics, zeros, bessel function)

zerobess(funstr,nu,m)

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updated 3 years ago

Automatic Differentiation with Matlab Objects by William McIlhagga

Automatically compute derivatives of functions, without using finite-difference approximations. (optimization, mathematics, derivatives)

ackley(x)

autodiff(x,func,varargin)

autodiff_sparse(x,func,varargin)

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updated almost 4 years ago

Historical Volatility by Josiah Renfree

Calculates the annualized historical volatility for a stock over the previous N trading days. (historical volatility, volatility, stocks)

hist_vol(ticker, N)

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updated 4 years ago

Calculation for Derivatives, CN version by Jin Long

For derivatives calculation, and exotic derivatives. (finance, derivatives)

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updated 4 years ago

getODEderivatives() by Luca Cerone

Get derivatives of an ODE syste, (ode, ode system, derivatives)

dydt=getODEderivatives(t,y,odehandler)

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updated 6 years ago

Piecewise parabolic interpolation by Orlando Rodríguez

Code to interpolate function values and corresponding derivatives. (approximation, interpolation, derivatives)

ppinterp( x, y, xi )

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updated 6 years ago

Piecewise cubic interpolation by Orlando Rodríguez

Code to interpolate function values and corresponding derivatives. (approximation, interpolation, derivatives)

pcinterp( x, y, xi, stype )

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updated 6 years ago

Biparabolic interpolation by Orlando Rodríguez

Biparabolic surface interpolation and calculation of derivatives. (approximation, interpolation, derivatives)

biparinterp(x,y,f,nodes)

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updated 8 years ago

PlotMeTheGreeks by Yazann Romahi

VisualizationTool for Option Greeks in 3 and 4 dimensions. (finance, modeling, analysis)

GKprice(CallPutFlag, S, X, T, r, r_f, sigma)

PlotMeTheGreeks(varargin)

VarVega=bsVarVega(CallPutFlag, S,X,T,r,r_f, sigma)

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updated 10 years ago

Generalized Linear Differential Operator Commutator by Greg von Winckel

Computes commuted expansion coefficients for linear operators. (differential equation..., commutation, relations)

B=commute(A)

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