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updated 21 hours ago

bond pricer by mono

mono

compute the yield curve and price zero coupon bond (yield curve, zero coupon bond, pricing)

CIR_CompoundRate_Kalman_fmincon(input_data)

CIR_SpotRate_LSM_fmincon(input_data)

CIR_pricing(input_data,flag,r0,tau)

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updated 4 months ago

Natural Gas Storage Valuation by Ameya Deoras

Ameya Deoras

Demos and files from the webinar (energy trading, energy risk, commodities)

Import Analyze Natural Gas Futures Options Historical P...

Natural Gas Storage Valuation: 2. Intrinsic Spread-Optio...

Natural Gas Storage Valuation: 3. Model Calibration and V...

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updated 2 years ago

The SABR Model - Densities and MC by Kienitz Wetterau FinModelling

Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method (sabr, kienitz, doust)

BinarySABR(f, k, t, sigma, disc)

BinarySABR_1_2(f, k, t, sigma)

BinarySABR_2(f, k, t, sigma)

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updated 2 years ago

Pricing and Calibration Framework (Object Oriented) by Kienitz Wetterau FinModelling

Object Oriented Framework for Pricing, Calibration and Hedging. (pricing, calibration, forward start options)

BoundConstraints(xvec,lb,ub,varargin)

GradientEval(fobj,xk,fval,varargin)

HessApprox(oldGradF,oldX,newGradF,newX,oldHessian)

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updated 2 years ago

Hazard Rate Bootstrapping by Vilen Abramov

Vilen Abramov

This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. (cds, bootstrapping, pricing)

hazard

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updated almost 3 years ago

Pricer of Inflation-Indexed Swaps by Julien Sautier

Julien Sautier

Zero Coupon and Year on Year Indexed on the Inflation rate according to the Jarrow Yildirim model. (swaps, finance, jarrow)

comp_An(NominalMarketPrice_T, NominalMarketPrice_t, Nomin...

comp_Ar(RealMarketPrice_T, RealMarketPrice_t, RealVolatil...

comp_Bn(an, t, maturity)

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updated 4 years ago

Pricing Derivatives Securities using MATLAB by Mayeda Reyes-Kattar

Mayeda Reyes-Kattar

Examples of pricing derivatives securities using MATLAB (finance, modeling, analysis)

optionvanilla(S,E,r,T,sigma,divYield,nSims,nSteps,type, s...

portbrowser(varargin)

treedemonew(Command, Trees,Port,RS)

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updated almost 5 years ago

Modeling Variable Annuities with MATLAB by Yi Wang

Yi Wang

Pricing Guaranteed Minimum Withdrawal Benefit (pricing, gmwb, variable annuities)

calcGMWB(tickers, holdings, startDate, endDate, aWRate, a...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

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updated 5 years ago

Heston Option Pricer by Rodolphe Sitter

Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (finance, stochastic, volatility)

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

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updated 5 years ago

Log-Uniform Jump-Diffusion Model by Rodolphe Sitter

Rodolphe Sitter

European call option price and implied volatility for a Log-Uniform Jump-Diffusion model. (finance, loguniform, jump)

BS(S0,t,K,T,Rgrow,Rdisc,sigma)

JDimpv(S0, X, r, T, a, b, lambda, value)

JDprice.m

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updated almost 6 years ago

Foreign Exchange Options by Rodolphe Sitter

Rodolphe Sitter

Valuation of European and American options on foreign exchange using Garman-Kohlhagen model (finance, foreign exchange, fx)

fxoptions( S0, X, rd, rf, T, vol, style)

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updated 6 years ago

Simple option pricing GUI by Ameya Deoras

Ameya Deoras

A GUI that presents the results of a Black-Scholes and a Monte Carlo European option pricer (finance, modeling, analysis)

optPriceVal(type, Price, Strike, Rate, Time, Vol, Yield, ...

optionpricegui2(varargin)

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updated 6 years ago

Pricing Basket Option by Abhishek Bharadwaj

Abhishek Bharadwaj

Functions for pricing of a basket option (finance, modeling, analysis)

asianbasket(basketstruct,OptSpec,ExerciseDates,Settle,N,n...

basketset(SPrice, Sigma, Corr, Num)

basketsim(basketstruct,T,N,n,r)

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updated almost 7 years ago

Using quadrature method to price a European call option by Wei-che Tsai

Wei-che Tsai

Pricing a European Call Option based on AWDN (2003) - Journal of Financial Economics (finance, modeling, analysis)

ECall_QUAD(S0,T,E,r,sig,D)

ECall.m

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