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updated 1 year ago

Fast Matrixwise Black-Scholes Implied Volatility by Mark Whirdy

Calculates Black-Scholes Implied Volatility for Full Surface at High Speed (blackscholes, impliedvolatility, impvol)

calcBSImpVol(cp,P,S,K,T,r,q)

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updated 3 years ago

Visualizing the Propagation of Risk by Attilio Meucci

Square-root rule diffusion for location-dispersion ellipsoid (financial engineering, portfolio management, quantitative finance)

h=TwoDimEllipsoid(Location,Square_Dispersion,Scale,PlotEi...

S_MultivarPropagation.m

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updated 3 years ago

Managing Diversification by Attilio Meucci

Entropy-based mean-diversification efficient frontier (portfolio management, financial engineering, quantitative finance)

GenFirstEigVect(S,A)

MaxEntropy(G,w_b,w_0,Constr)

[E,L,G]=GenPCBasis(S,A)

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