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updated almost 5 years ago

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (finance, stochastic, volatility)

Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)

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updated 5 years ago

Algorithmic Trading with MATLAB - 2009 update by Ameya Deoras

M-file scripts and Simulink models from webinar on 28 May 2009 (algorithmic trading, high frequency, market making)

callnnpiter

ema(x,N)

emstd(X,N)

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updated 5 years ago

MATLAB no Desenvolvimento de Modelos para Financas by Elia Matsumoto

Slides and demo files using Brazilian market data. (webinar, matlab, financial modeling)

GP(varargin)

GP_Aversao( )

GP_Inic( )

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updated 5 years ago

Constant Volume Bars by Nakul

Constant Volume Bars (finance)

CVB.m

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updated 5 years ago

CDS pricer by Rogier Swierstra

This short routine calculates the mark-to-market price of a credit default swap. (finance, analysis, bloomberg)

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updated 5 years ago

eomdateAN by Tal Shir

Allow for negative and bigger than 12 month number with eomdate.m function (calander, date, end of month)

eomdateAN(y,m)

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updated almost 6 years ago

Developing a Financial Market Index Tracker using MATLAB OOP and Genetic Algorithms by Mark Hoyle

Files used in the webinar of the same name (finance, modeling, analysis)

CreateIndex(NumDays,NumStocks,TotalNumStocks,L,K,s,t)

GetGAData(Wts,Stocks,Dates,StartDate)

InitialiseSession

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updated almost 6 years ago

Chinese Matlab Digest: Matlab Technical Bulletin by Hong Zhang

Chinese Matlab Digest is the first matlab digest published in Chinese by www.iLoveMatlab.cn (digest, matlab digest, chinese digest)

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updated almost 6 years ago

ECB Statistical Data Warehouse by Wu

Download econometric time series from the ECB Statistical Data Warehouse. (data fetch, data acquisition, econometric)

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updated 6 years ago

Simple option pricing GUI by Ameya Deoras

A GUI that presents the results of a Black-Scholes and a Monte Carlo European option pricer (finance, modeling, analysis)

optPriceVal(type, Price, Strike, Rate, Time, Vol, Yield, ...

optionpricegui2(varargin)

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updated 6 years ago

Pricing Basket Option by Abhishek Bharadwaj

Functions for pricing of a basket option (finance, modeling, analysis)

asianbasket(basketstruct,OptSpec,ExerciseDates,Settle,N,n...

basketset(SPrice, Sigma, Corr, Num)

basketsim(basketstruct,T,N,n,r)

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updated 6 years ago

Convert covariance matrix to correlation matrix by Denis

Converts covariance matrix to correlation matrix setting exactly 1-s on its main diagonal (statistics, probability, covariance matrix)

Cov2Corr(ExpCovariance)

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updated 6 years ago

Monte Carlo simulations using MATLAB by Vincent Leclercq

Demonstrations of Monte Carlo simulations in MATLAB (finance, modeling, analysis)

BlsHalton(S0,X,r,T,sigma,NPoints)

BlsMC(S0,X,r,T,sigma,NRepl)

BlsMCAV(S0,X,r,T,sigma,NRepl)

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updated 6 years ago

Asian Option - Pricing using Monte Carlo Control Variate Method by Sudhanshu Chadha

Price asian option using Monte carlo control Variate (finance, modeling, analysis)

AsianCall_mc_cv(S0,K,r,T,vol,Simu);

BS_European_Call(S, K, sigma, r, T);

mccv_gui(varargin)

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updated 6 years ago

Visualize dynamic hedging by Dimitri Shvorob

(via an interactive GUI) (finance, modeling, analysis)

blscallprice(S,K,r,t,sigma)

blsputprice(S,K,r,t,sigma)

hedgedemo

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updated almost 7 years ago

MathWorks Webinar: Using Genetic Algorithms in Financial Applications by Oren Rosen

Presentation and M-Files for MathWorks Webinar (finance, modeling, analysis)

ComputeBestPortfolio(expRet,expCov,portSize,targetRet)

ComputeHistoricalStats(prices)

FindTarget(target)

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updated 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 7 years ago

Matlab-GUI equity derivative calculator by Biao

equity derivative calculator using matlab GUI (finance, modeling, analysis)

American(varargin)

AssetorNth(varargin)

CashorNth(varargin)

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updated almost 8 years ago

Using MATLAB to Develop Asset-Pricing Models by Bob Taylor

Scripts to build and test Fama & French three-factor model. (finance, modeling, analysis)

FFestimateCAPM.m

FFestimateFF.m

FFwebinar.m

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updated 8 years ago

Interactive Efficient Frontier Viewer by Paul Taylor

Efficient Frontier Viewer using nested functions (finance, modeling, analysis)

portfolio_eff_frontier(varargin)

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updated 8 years ago

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Scripts to create time-evolving efficient frontiers and to backtest results. (finance, modeling, analysis)

[DateHistory, RetHistory, PortHistory, X, Y, Z ] ...

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Cova...

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updated 9 years ago

ZigZag - Financial Indicator Wave by Olaf Marthiens

Read Yahoo Stock price and generate ZigZag Wave. (finance, modeling, analysis)

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updated 9 years ago

WSMA by Alexandros Leontitsis

The calculation of the WSMA. (finance, modeling, analysis)

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updated 11 years ago

TechTradeTool by Stephanos-George Papadamou-Stephanides

A toolbox for calculating and optimizing technical analysis trading systems. (finance, modeling, analysis)

[bestPerf, opt1, opt2, opt3, opt4]=optimizeSys2(menuIn, s...

[bestPerf, opt1, opt2]=optimizeSys(st, tsIn, lobIdays1, u...

[plRuin]=plotpruin(NT,MT,XWO,XPL,XRF,NR);

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updated 11 years ago

Payment Calculator by Stacey Gage

Example loan payment calculator using Swing and MATLAB. (external interface, java, financial)

payment_calc

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