Libor Market Model Adjoint Greeks (LMM) by Kienitz Wetterau FinModelling

Adjoint Method for Libor Market Models (Delta, Gamma, Vega) (libor market model, trigger swap, greeks)

BuildFactorMatricesD(LD,omega)

BuildMatricesC(LD, Delta, E)

BuildMatricesE(LD, D, omega)

COS Method (Multiple Strikes, Bermudan, Greeks) by Kienitz Wetterau FinModelling

Implementation of the COS method for advanced option pricing and Greeks for multiple strikes at once (cos, multiple strikes, bermudan)

CF(model,u,T,r,d,varargin)

FFTCOS_B(n, Nex, L, c, cp, type, S0, t, r, q, ...

FFTCOS_B_2(n, Nex, L, c, cp, type, S0, t, r, q, ...

Fit distributions to censored data by Leonidas Bantis

Fits distributions to data when left and/or right and/or interval censoring is present (censoring, left censoring, lognormal)

evfitc.m

expfitc.m

gamfitc.m

Gamma Adjustment GUI by Eric Johnson

RGBGUI is an interactive gamma adjustment tool for grayscale and RGB (true color) images. (gamma, rgb, truecolor)

rgbGUI(varargin)

rgbgui.adjGamma(hObject,event)

rgbgui.bgChannelSelect(h,e)

Bivariate Gamma Distribution (CDF, PDF, samples) by Geert Van Damme

Bivariate Gamma CDF and PDF (rho > 0) + Bivariate Gamma random generator (bivariate, correlated, distribution)

BivGamCDF(x, y, alpha_x, beta_x, alpha_y, beta_y, rxy)

BivGamPDF(x, y, alpha_x, beta_x, alpha_y, beta_y, rxy)

BivGamRND(nSamps, alpha1, beta1, alpha2, beta2, rho)

3D Plot for Greeks by Rodolphe Sitter

Plot in 3 dimensions the Greeks under the Black-Scholes model for a European call (gui, 3d, finance)

VisualizeGreeks(varargin)

Homogen Integrate on Triangular Area and Tetrahedral Volume by Ali OZGUL

Tetrahedral volume integration (integration, gamma, beta)

Hominttetrahedral

Hominttriangle

[Integrate]=THhomogenint(Cor,mainfunction,flag)

digamma function by Eric Alvarez

digamma function for complex arguments (special functions, gamma, psi)

z=fdigamma(z)

PlotMeTheGreeks by Yazann Romahi

VisualizationTool for Option Greeks in 3 and 4 dimensions. (derivatives, finance, analysis)

GKprice(CallPutFlag, S, X, T, r, r_f, sigma)

PlotMeTheGreeks(varargin)

VarVega=bsVarVega(CallPutFlag, S,X,T,r,r_f, sigma)

Bisection Algorithm for H infinity by ilker Delice

Bisection algorithm finds gama value of H infinity (h infinity, bisection, algorithm)

Hinf_Bisection.m

Computation of Special Functions by Ben Barrowes

MATLAB translation (via f2matlab) of the original FORTRAN of "Computation of Special Functions." (special functions, bessel, bernoulli)

Special Functions math library by Paul Godfrey

Collection of Special Functions programs. (zeta, factorial, gamma)

bern(n)

betad(z)

binomial(n,d)

Gamma Correction by Pranam Janney

Gamma correction. (gamma correction, gamma, enhancement)

gammacorrection(Image,GammaValue)

Gamma by Paul Godfrey

Compute a very accurate Gamma function over the entire complex plane. (gamma, function, complex)

gamma(z)