Mining Economics with MATLAB by David Willingham

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices (commodities, mining, economics)

FitNPV(NPV)

cashflow(data,NTrials,SYear)

discounting(data,capex,NTrials,sales,discFactorY,salesb)

Matrix Decomposition by Aleksander

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

SpectralDP(Correlation)

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)

GARCH Tool by Phil Goddard

User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox. (garch, ar, ma)

GARCHTool

Log Density Plot by VASILIS PAPPAS

This program accepts a vector of stock market prices and calculates the Log density plot. (logdensity, pdf, finance)

log_density_v2.m

Approaches to implementing Monte Carlo methods in MATLAB by Sri Krishnamurthy

Code for the article in the September 2011 article http://www.wilmott.com/magazine.cfm (monte carlo, parallel computing, wilmott)

PriceArithmeticAsianOption(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionFin(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionPCT(S0,X,r,T,sigma,NSteps,NPaths)

Cointegration and Pairs Trading with Econometrics Toolbox by Stuart Kozola

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

Demo 1: Cointegration

Intraday Pairs trading

README.M

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

MATLAB code for the generation asset risk analysis case study (market risk, cashflow at risk, model)

Calibrating Simulating Natural Gas Spot Prices

Modeling Simulating Hourly Electricity

Modeling Simulating Hourly Temperature

Modeling & Predicting stock prices with volatility analysis by Karan Mendiratta

Ito's Lemma, Heteroskedasticity (GARCH) model, Brownian Motion (finance, mathematics)

StockPred.m

Modeling Variable Annuities with MATLAB by Yi Wang

Pricing Guaranteed Minimum Withdrawal Benefit (annuities, annuity, variable annuities)

calcGMWB(tickers, holdings, startDate, endDate, aWRate, aFe...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

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, aFe...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

Symbolic Derivatives for Econometric Tests by Alan Weiss

How to calculate derivatives required by Econometric Toolbox tests via Symbolic Math Toolbox (symbolic, econometrics, jacobian)

symbolic_econometric_tests.m

Using MATLAB to Develop Macroeconomic Models by Bob Taylor

Analyze a stylized version of the Smets-Wouters model for the United States economy. (econometrics, forecasting, econometrics toolbox)

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( )