Estimation of Structured t-Copulas by Attilio Meucci

Recursive routine to estimate structured correlation matrix and degrees of freedom (finance, modeling, analysis)

LogLik(x,Nu,Sigma)

MleRecursionForT(x,Nu,K,Tolerance)

[Nu,C]=StrucTMLE(X,K,Tolerance)

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)

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

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)

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)

Short Term Hedge Position Optimizer by Kwame Awuah-Offei

This program optimizes the hedge ratio for a resource company (stochastic linear pro..., hedging, analysis)

futures_price(s_price,c_yield,t,Economic,Yield,Price)

hpo3

hpo_gui(varargin)

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)

Simulate a Cox-Ingersoll-Ross process by Dimitri Shvorob

(Exact algorithm) (cox ingersoll ross ci..., analysis, modeling)

CIRPATHDEMO

cirpath(t,a,b,s,r0)

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...

Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) by Saket Sathe

This program uses a multi-cycle Expectation-Conditional Maximization algorithm to estimate parametes (generalized hyperboli..., finance, analysis)

[mu, lambda, gamma, Sigma, chi, psi]=multiGH_mcecm_clam_fit...

debugmsg(string,variable,lines)

f=multiGH_randvar(n,mu,lambda,gamma,Sigma,chi,psi)

Interactive Efficient Frontier Viewer by Paul Taylor

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

portfolio_eff_frontier(varargin)

calcRealWorldFactorScores by Martyn Dorey

Takes output from factoran and turns into real world explained returns and residuals. (statistics, probability, factor)

calcRealWorldFactorScores(mxLoadings,mxAssets,vecIdio,T)

Reinsurance Demo by Kas Sharma

Demo: GUI that prices a reinsurance contract based on "Excess of Loss" terms. (finance, modeling, analysis)

las(x, B, Q, P, S, T)

model_loss_process(premium, losspick, B, Q, P, S, T)

overimpose_the_structure(premium, XOL, loss, lossPick, comm...

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