Fully Flexible Views and Stress-testing by Attilio Meucci

Full generalization of Black-Litterman and related techniques via entropy pooling (blacklitterman, analysis, finance)

CVaR=ComputeCVaR(Units,Scenarios,Conf)

Constr=SetUpConstraints(Securities);

EfficientFrontier(X,p, Options);

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

frap_analysis by Peter Jönsson

Analyzes fluorescence recovery after photobleaching (FRAP) data using the Hankel transform method. (analysis, mobility, frap)

[Ir,r,R,rmax]=I_radial(N,x_cm,y_cm,Xx,Yy,I,rmax)

[dy,y_fit]=fkn_dbl_exp_fit(p,t,Fr,k)

[dy,y_fit]=fkn_dbl_exp_fit_k(p,t,Fr,k)

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)

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)

Risk and Asset Allocation by Attilio Meucci

Software for quantitative portfolio and risk management (value at risk, modeling, analysis)

...

Addition(x,y);

Adendotd(dense, d, sparAd, Ablk, blkstart)

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

CVaR optimization by Manthos Vogiatzoglou

The file provides scripts and functions to estimate the optimal portfolio by minimizing CVaR (analysis, conditional value at ..., market risk)

[fval,w]=CVaROptimization(ScenRets, R0, VaR0, beta, UB, LB...

CVaR_fmincon.m

CVaR_fmincon_variousR0.m

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)

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)

Devise a bond maturity strategy by Dimitri Shvorob

(via an interactive GUI) (finance, modeling, analysis)

bondito

Matlab-GUI equity derivative calculator by Biao

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

American(varargin)

AssetorNth(varargin)

CashorNth(varargin)

GMM by zhiguang cao

GMM (analysis, code for gmm, gmm)

[paraest,t_sta,V,it,Chi_sta,Pvalue]=gmmestimation(moment,pa...

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...

Style Analysis by Andreas Steiner

Rolling style analysis. (rolling style analysi..., finance, modeling)

COLS(x)

CORREL(X,Y)

COVAR(X,Y)

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);

MetMAP by Julio Vera

A MATLAB package for metabolical modeling, analysis and optimization. (biotech, pharmaceutical, metabolic systems)