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updated 1 month ago

Data_DieboldLi.zip by Rick

Stochastic State-Space Modeling in Finance (yield curve, statespace, kalman filter)

Using the Kalman Filter to Estimate and Forecast the Dieb...

Example_DieboldLi(param, yield, maturity)

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updated 3 years ago

Cointegration and Pairs Trading with Econometrics Toolbox by Stuart Kozola

Demo files from the webinar of same title. (cointegration, trading, pairs trading)

Demo 1: Cointegration

Intraday Pairs trading

README.M

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updated 3 years ago

Energy Trading & Risk Management with MATLAB Webinar Case Study by Ameya Deoras

MATLAB code for the generation asset risk analysis case study (energy trading, risk, market risk)

Calibrating Simulating Natural Gas Spot Prices

Modeling Simulating Hourly Electricity

Modeling Simulating Hourly Temperature

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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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