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

Monte Carlo example of the Multi-Factor coupled Commodity Forward curves Simulator by Ahmos Sansom

Implementation of the Multi-Factor multi commodity forward curve simulator (finance, mathematics, optimization)

GetCov(x, y)

LnTestofSims(mySims, LastFC, volFN, Factors)

MultiFactorForwardCurveSimulator(nSims, Seed, historicalFor...

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 calibration by Francesco Paolo Esposito

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

trintree_calswaption( Curve, V, Period, coin )

Risk-neutral density recovery via spectral analysis by Matthias

Implementation of Monnier (2013) "RND recovery via spectral analysis" (finance, statistics, risk neutral density)

spectralrecovery(X,bid,ask,F,r,tau,nopt)

spectralExample.m

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)

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)

Markowitz Efficient Frontier by Luca Beldi

Calculates the Markowitz Efficient Frontier (efficient frontier, mean standard deviati..., finance)

EfficientFrontier( Assets , NumPoints, LongOnly)

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

Estimation of Nelson-Siegel and Svensson Models by Kamil Kladivko

Estimation of zero yield curve from coupon bond prices by Nelson-Siegel or Svensson model. (interpolation, nelson siegel, yield curve)

NScurve(Params, Tau, Model)

NSerror.m

NSest(Bonds, ShortRates, Model, Optimization)

ARMAX-GARCH-K Toolbox (Estimation, Forecasting, Simulation and Value-at-Risk Applications) by Alexandros Gabrielsen

ARMAX-GARCH-K Toolbox (agarch, statistics, apgarch)

[mu h]=egarchcore(parameters, data, ar, ma, x, p, q, y, m, ...

agarchcore(parameters, data, ar, ma, x, p, q, y, m, z, v, T...

apgarchcore(parameters, data, ar, ma, x, p, q, y, m, z, v, ...

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)

Fully Flexible Extreme Views by Attilio Meucci

Entropy Pooling for extreme views on CVaR (finance, statistics, portfolio management)

Prior2Posterior(M, Q, M_Q, S, G, S_G)

gaussHermiteMesh(J)

hermitePolynomial(n)

Review of Dynamic Allocation Strategies by Attilio Meucci

Convex versus Concave Management, CPPI, OBPI, portfolio insurance, etc. (finance, statistics, portfolio management)

D=Delta(Time_to_Maturity,Stock_Value,Stock_Volatility,Strik...

K=Solve4Strike(Strike,Time_to_Maturity,Stock_Value,Stock_Vo...

S_Main.m

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

In sample Value at Risk and backtesting with the Pearson type IV distribution by Stavros Stavroyiannis

Garch(1,1) model with Pearson type IV distribution innovations and Value at Risk backtesting (christoffersen, finance, garch)

results=varinPIV(data)

In sample value at risk and backtesting by Stavros Stavroyiannis

Garch model with Gaussian distribution and Value at Risk in sample backtesting. (kupiec, garch, finance)

results=varin(data)

n-person game by Bapi Chatterjee

The function npg solves an n-person finite non-co-operative game to compute one Nash Equilibrium. (matrix game, nperson game, non co operative game)

gamer(n,Us,p,I,s,ub,lb,x0,Aeq,beq,pay,U)

npg(M,U)

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)

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)

Local Regression 2D by Arnout Tilgenkamp

Local Regression for 2D Data with plot/figure (finance, regression, local regression)

[y0]=MLR(X,y,span,X0,robuust)

Speeding Up Optimization Problems with Parallel Computing by Stuart Kozola

Files from the webinar: Speeding up optimization problems with parallel computing (aerospace, automotive, demo)

Electron Problem Optimization

First Order Reliability Method using a Simulink Flutter Mod...

computebestportfolioPCT(expRet,expCov,portSize,targetRet)

UK Power Value Neutral hedge by Ahmos Sansom

Example of a value neutral hedge for the UK power (electricity) markets. (optimization, mathematics, finance)

HedgeMinNightBaseFunction(x, TotalPrice, BasePrice, NightPr...

HedgeMinNightPeakBaseFunction(x, TotalPrice, BasePrice, Pea...

HedgeMinPeakBaseFunction(x, TotalPrice, BasePrice, PeakPric...

Term Structure of Volatility Calibration by Ahmos Sansom

Derives term structure parameters used in Commodity pricing (mathematics, finance, optimization)

ReturnsLFMin(x,returns,t,TermType)

TermFunMin(x,t,LocalVol,TermType)

sigma=TermFun(x,t,TermType)

Salvaging a Linear Correlation Matrix by Ahmos Sansom

Finds the nearest correlation Matrix using the Hypershere or Spectral decomposition methods (finance, mathematics)

HypersphereDecomp(InMat, Tol, minOption)

SpectralDecomp(InMat)

CorrelationExample.m

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

Zero Sum Game by Bapi Chatterjee

Solves a zero sum matrix game. (finance, game theory, optimization)

[C,D,msg]=zsum(A)

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);