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updated 26 days ago

MULTIVARIATE GARCH BASED ON PCA by Tal Shir

Generage Convariance mairix using PCA-GARCH model (garch, multivariate garch, correlation)

[Cov Corr PCov PCorr PRt Model PRterr NumFac COEFF,SCORE,...

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updated 1 month ago

Li's Copula model for CDS and CDO default intensities and loss function by Francesco Da Vinci

Copula functions for credit loss distribution and default intensities of CDS (cds, cdo, loss distribution)

LiG=LiGaussian(Not, Rho, RR, Times,h, numbofsimulations)

LiGSeller=LiGSeller(Rho, RR, Times,h, numbofsimulations)

LiStudent(Not, Rho, RR, Times,h, numbofsimulations,df)

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updated 3 months ago

AutoRegressive.m by Daniel Grewal

AutoRegressive process used to predict outcome of football matches for my application (autoregressive, time series analysis, econometrics)

AutoRegressive( input_args )

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updated 10 months ago

Speeding Up Algorithms: When Parallel Computing and GPUs do and don't accelerate by Michael Weidman

Files and slides from the presentation of the same name. (finance, gpu, parallel)

calcProbRuin(EquitySAVal)

calcValuePayoutAndFees_GPU( ...

calcValuePayoutAndFees_VEC( ...

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updated 1 year ago

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)

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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 almost 2 years 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

GARCH Tool by Phil Goddard

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

GARCHTool

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updated almost 3 years ago

Approaches to implementing Monte Carlo methods in MATLAB by sri

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

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

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

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

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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)

getMinuteDataFromDB(tableName)

pairs(series2, M, N, spread, scaling, cost)

pairsChart(LCO, WTI)

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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)

backtestPlantPortfolio(assets, startDate, endDate)

dispatch(capacity, heatRate, VOM, minRun, Elec, NG)

dynamicDateTicks(axH, link)

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updated 4 years ago

Modeling Variable Annuities with MATLAB by Yi Wang

Pricing Guaranteed Minimum Withdrawal Benefit (pricing, gmwb, variable annuities)

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

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

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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)

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

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

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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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