Yahoo Finance Time Series Analysis Tool by Christian Pass

Performs various time series analysis operations (data export, finance, gui)

Yahoo Finance Time Series Analysis Tool

Building and Extending Portfolio Optimization Models with MATLAB by sri

Object-oriented implementations of the Portfo and the Black-Litterman approach (portfolio optimizatio..., finance, object oriented progr...)

View(varargin)

compareWeights( ExcessHistoricalReturns, ExcessImpliedRetur...

PortfolioBL

Trinomial tree seaption pricing by Francesco Paolo Esposito

Swaption pricing function under the Hull-White lattice model. It allows finer grid. (finance)

trintree_swaption_plus_HW(U, Curve, opt_type, model, a, d_a...

Black1976 swaption pricing for a bespoke deal by Francesco Paolo Esposito

This function prices a swaption portfolio with any cash-low structure (finance)

swaptionbyblk_bank( U, V, Curve )

trinomial tree plot by Francesco Paolo Esposito

This function plots the Hull-White tree structure (finance)

trintree_plot( BKTree )

Trinomial tree calibration by Francesco Paolo Esposito

This function calibrates the Hull-White trinomial tree. (finance)

trintree_calswaption( Curve, V, Period, coin )

volatility to premium for swaptions (Black76 model) by Francesco Paolo Esposito

This function convert ATM volatility surface into swaption premiums and par rates. (finance)

vol2par_swaption( curve, V, period )

Trinomial tree swaption pricing by Francesco Paolo Esposito

This function generates swaption prices under the Hull-White trinomial tree model. (finance)

trintree_swaption_HW(U, Curve, opt_type, model, a)

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)

Black and Shcoles calculator by Hanan Kavitz

Graphical Black and Shcoles calculator for visualizing different sensetives (black and shcoles, finance, gui)

blscalculator(varargin)

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)

Analyzing Investment Strategies with CVaR Portfolio Optimization by Bob Taylor

Scripts and data to demonstrate the new PortfolioCVaR object in Financial Toolbox. (finance, portfolio, optimization)

covered_engine(X, T, mu, sigma, ...

gbm_calibration(t0, X, t)

gbm_call_price(X0, K, r0, T, sigma)

Statistical Backtest Toolbox by Benjamin Heelan

A Toolbox that allows the user to backtest trading strategies on the FTSE100. (strategies, backtesting, algorthmic trading)

...

Buy_only_trade_execution_algo(x,D,Buy_Signal,Sell_Signal)

Trade_Plots(C,D,n,P_n_L)

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)

CVaR Portfolio Optimization by Seth DeLand

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object (portfolio optimizatio..., cvar, conditional value at ...)

CVaRPortfolioOptimizationExample.m

THRESHOLD REGRESSION PROGRAMME by jinchun

this programme could be used to analysis the threshold effects form panel data (finance)

THRESH_P.m

Improving MATLAB® performance when solving financial optimization problems by Jorge Paloschi

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, http://www.wilmott.com/magazine.cfm (optimization, finance, symbolic)

OptimizationWithSymbolicToolboxDemo()

vectorize(s)

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 (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)

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

Portfolio Optimizer Tool by Patric Schenk

Portfolio Optimizer Tool (data import, gui, finance)

portfoliotool(varargin)

ExcelReport

Portfolio

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)

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (trading, portfolio management, risk)

fm(varargin)

Asset

AssetUniverse

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)

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (heston, blackscholes, call)

Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)

Algorithmic Trading with MATLAB - 2009 update by Ameya Deoras

M-file scripts and Simulink models from webinar on 28 May 2009 (algorithmic trading, high frequency, finance)

callnnpiter

ema(x,N)

emstd(X,N)

Constant Volume Bars by Nakul

Constant Volume Bars (finance)

CVB.m

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...

eomdateAN by Tal Shir

Allow for negative and bigger than 12 month number with eomdate.m function (calander, date, end of month)

eomdateAN(y,m)

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);