Rank: 151615 based on 0 downloads (last 30 days) and 0 file submitted
photo

Allison Zhou

E-mail

Personal Profile:
Professional Interests:
financial engineering

 

Watch this Author's files

 

Comments and Ratings by Allison
Updated File Comments Rating
03 Apr 2012 Financial Seminar Demos Demos commonly used at The MathWorks financial modeling seminars. Author: Ameya Deoras

Great sample files. I think there is an error in the Monte Carlo simulation though. If my understanding is correct, time=0:20 is the number of steps in each simulation. As such, we need to adjust the drifts and std's by it. So in the montecarlo.m file,

drifts = mRet.*dt/(tLen-1);
stds = valat.*sqrt(dt/(tLen-1));

Otherwise we are not projecting one-day returns.

Contact us