Technical Analysis Tool by Phil Goddard

GUI for viewing various simple technical analysis indicators of a time series (analysis, modeling, finance)

Technical Analysis Tool

axislocations_set(obj)

axislocations_store(obj)

Using MATLAB to Optimize Portfolios with Financial Toolbox by Bob Taylor

Scripts and data to demonstrate the new Portfolio object in Financial Toolbox. (backtesting, analysis, finance)

part1_plot(varargin)

PortfolioDemo

part1_intro.m

Efficient Frontier GUI by Ameya Deoras

Efficient frontier from Yahoo or database data. (finance, analysis, modeling)

dfdb_port_opt(varargin)

cleanMe.m

Financial Seminar Demos by Ameya Deoras

Demos commonly used at The MathWorks financial modeling seminars. (finance, modeling, portfolio var risk ma...)

PortVaRmc(nsim)

blsimpv(so,x,r,t,call,maxiter,q,tol)

blsvis(varargin)

Black-Scholes Option Value Web Application - Java/Tomcat by Sachin Nikumbh

This example code demonstrates how to access Java components generated by MATLAB Builder for Java fr (finance, modeling, analysis)

optionvalue(SpotPrice, StrikePrice, RiskFreeRate,TimeExpiry...

webvizroutine(SpotPrice, StrikePrice, RiskFreeRate,TimeExpi...

mcc_command.m

Pricing Derivatives Securities using MATLAB by Mayeda Reyes-Kattar

Examples of pricing derivatives securities using MATLAB (webinar, derivatives securitie..., finance)

optionvanilla(S,E,r,T,sigma,divYield,nSims,nSteps,type, sho...

portbrowser(varargin)

treedemonew(Command, Trees,Port,RS)

CDS pricer by Rogier Swierstra

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

cds_price(initDate, endDate, initSpread, curSpreads, discou...

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

Simple option pricing GUI by Ameya Deoras

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

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

optionpricegui2(varargin)

Pricing Basket Option by Abhishek Bharadwaj

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

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

basketset(SPrice, Sigma, Corr, Num)

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

Monte Carlo simulations using MATLAB by Vincent Leclercq

Demonstrations of Monte Carlo simulations in MATLAB (monte carlo simulatio..., finance, analysis)

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

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

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

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

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

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

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

mccv_gui(varargin)

Visualize dynamic hedging by Dimitri Shvorob

(via an interactive GUI) (hedgedemo, gui, analysis)

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

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

hedgedemo

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

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

ComputeBestPortfolio(expRet,expCov,portSize,targetRet)

ComputeHistoricalStats(prices)

FindTarget(target)

Mean-variance portfolio optimization using GA and PATTERNSEARCH by Dimitri Shvorob

(A not-too-serious experiment / code sample) (finance, analysis, modeling)

Mean-variance portfolio optimization using GA and PATTERNSE...

util(Wts)

Matlab-GUI equity derivative calculator by Biao

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

American(varargin)

AssetorNth(varargin)

CashorNth(varargin)

Using MATLAB to Develop Asset-Pricing Models by Bob Taylor

Scripts to build and test Fama & French three-factor model. (fama french, capm, finance)

FFestimateCAPM.m

FFestimateFF.m

FFwebinar.m

Black-Scholes Option Value (Web - ASP.NET) by Barry Simon

This example code demonstrates how to access .NET and COM components generated by MATLAB Builder for (finance, modeling, analysis)

optionvalue(SpotPrice, StrikePrice, RiskFreeRate,TimeExpiry...

webvizroutine(SpotPrice, StrikePrice, RiskFreeRate,TimeExpi...

Interactive Efficient Frontier Viewer by Paul Taylor

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

portfolio_eff_frontier(varargin)

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

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

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

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Covar0...

ZigZag - Financial Indicator Wave by Olaf Marthiens

Read Yahoo Stock price and generate ZigZag Wave. (financial trading zig..., modeling, analysis)

ZigZag.m

WSMA by Alexandros Leontitsis

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

[WSMAshort,WSMAlong]=WSMA(asset,lead,lag,v,T)

Option Pricing Demo by Kas Sharma

Demo of an option pricing tool (blackscholes, option pricing, analysis)

blsapp2()

blsapp2()

blsbtyval(SpotPrice, ...

Pricing Derivatives by Kas Sharma

Ilustrates how to price an instrument portfolio. (finance, modeling, analysis)

ProcessInst.m

ProcessInstBDT.m

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, st,...

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

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