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updated 4 months ago

MATLAB for R Users in Computational Finance by Ameya Deoras

Learn how to use MATLAB and R together to tackle your computational needs (r, rstudio, time series)

Backtest Moving Average RSI Combo Strategy

Optimizing Market Risk using Copula Simulation

blsapp()

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updated 5 months ago

CVaR Portfolio Optimization by Seth DeLand

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object (portfolio optimizatio..., cvar, conditional value at ...)

CVaRPortfolioOptimizationExample.m

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updated 5 months ago

Algorithmic Trading | Moving Average Crossover Strategy with WFAToolbox by WFAToolbox

The classical technical analysis strategy for an advanced algorithmic trading GUI - WFAToolbox (finance, gui, trading)

MAcross_strategy(x,price)

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updated 6 months ago

Algorithmic Trading with Bloomberg EMSX and MATLAB by Nicole Wilson

Files used in the webinar which can be viewed at http://www.optinum.co.za/webinars/contact_main.php (finance, demo, webinar)

Algorithmic Trading with MATLAB and Bloomberg EMSX: Onlin...

Algorithmic Trading with MATLAB: Intraday trading

Bloomberg EMSX API: Simple Examples

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updated 7 months ago

Commodities Trading with MATLAB by Anshuman Mishra

Demos from the 'Commodities Trading with MATLAB' webinar - July 25, 2013. (algorithmic trading, automated trading, trading)

Commodities Trading with MATLAB - Backtesting with varyin...

Commodities Trading with MATLAB - Catch-up strategy acros...

Commodities Trading with MATLAB - Cross Sectional Momentum

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updated 10 months ago

Yahoo Finance Time Series Analysis Tool by Christian Pass

Performs various time series analysis operations (data export, finance, gui)

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updated 12 months ago

Building and Extending Portfolio Optimization Models with MATLAB by sri

Object-oriented implementations of the Portfo and the Black-Litterman approach (portfolio optimizatio..., finance, object oriented progr...)

View(varargin)

compareWeights( ExcessHistoricalReturns, ExcessImpliedRet...

PortfolioBL

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updated 12 months ago

Trinomial tree seaption pricing by Francesco Paolo Esposito

Swaption pricing function under the Hull-White lattice model. It allows finer grid. (finance)

trintree_swaption_plus_HW(U, Curve, opt_type, model, a, d...

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updated 12 months ago

trinomial tree plot by Francesco Paolo Esposito

This function plots the Hull-White tree structure (finance)

trintree_plot( BKTree )

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updated 12 months ago

Trinomial tree calibration by Francesco Paolo Esposito

This function calibrates the Hull-White trinomial tree. (finance)

trintree_calswaption( Curve, V, Period, coin )

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updated 12 months ago

volatility to premium for swaptions (Black76 model) by Francesco Paolo Esposito

This function convert ATM volatility surface into swaption premiums and par rates. (finance)

vol2par_swaption( curve, V, period )

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updated 12 months ago

Trinomial tree swaption pricing by Francesco Paolo Esposito

This function generates swaption prices under the Hull-White trinomial tree model. (finance)

trintree_swaption_HW(U, Curve, opt_type, model, a)

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updated 1 year ago

Price call and put options using Constant Elasticy of Variance model by Hanan Kavitz

An alternative to using Black and Scholes model is using Constant Elasticity of Variance model. (financial models, black and shcoules, constant elasticity m...)

[call,put]=constantElasticity(S,K,r,T,sigma,q,alpha)

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updated 1 year ago

Black and Shcoles calculator by Hanan Kavitz

Graphical Black and Shcoles calculator for visualizing different sensetives (bls, black and shcoles, gui)

blscalculator(varargin)

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updated 1 year ago

Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor

Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. (finance, portfolio, optimization)

covered_engine(X, T, mu, sigma, ...

gbm_calibration(t0, X, t)

gbm_call_price(X0, K, r0, T, sigma)

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updated 1 year ago

Matrix Decomposition by Aleksander

Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex (cholesky, decomposition, correlation matrix)

SpectralDP(Correlation)

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updated 1 year ago

Treynor-Black portfolio management model by Ben

Treynor-Black portfolio management model (portfolio management, optimization, active)

[pct_w_pos_opti beta_pos_opti pct_w_active measures_port ...

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updated 1 year ago

SCOPE: interactively tabulate SEER excel variables by Rex Cheung

This takes SEER excel column data interactively, tabulate them, write back in table format. (data import, data export, optimization)

output=xls2tabulate2xls(xlsfilename)

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updated 2 years ago

Improving MATLABĀ® performance when solving financial optimization problems by Jorge Paloschi

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, http://www.wilmott.com/magazine.cfm (optimization, finance, symbolic)

OptimizationWithSymbolicToolboxDemo()

vectorize(s)

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