Merton Structural Credit Model (Matrixwise Solver) by Mark Whirdy

Matrixwise Calculation Firm Asset Value, Volatility, Debt Value, Spread, Default Prob, Exp-Recovery (credit, structural model, structural credit mod...)

calcMertonModel(E_t,sig_E,K,t,T,r)

Copula-Marginal Algorithm (CMA) by Attilio Meucci

Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management (portfolio management, risk management, quantitative finance)

EntropyProg(p,A,b,Aeq,beq)

X=CMAcombination(x,u,U)

X=MvnRnd(M,S,J)

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,PlotEigV...

S_MultivarPropagation.m

Robust Bayesian Allocation by Attilio Meucci

portofolio optimization that controls for estimation risk (finance, portfolio management, quantitative finance)

EfficientFrontier(NumPortf, Covariance, ExpectedValues)

MainSectorsSnP.m

S_SimulationsCaseStudy.m

Review of Discrete and Continuous Processes in Finance by Attilio Meucci

discrete-time and continuous-time processes for finance, theory and empirical examples (finance, statistics, portfolio management)

AnalyzePersistence(Data,AggregationPersistence,LagsSamplAut...

AnalyzeVarianceAggregation(Dates,Data,AggregationVariance,A...

Data=FilterJumps(Dates,Data,Name)

Managing Diversification by Attilio Meucci

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

GenFirstEigVect(S,A)

MaxEntropy(G,w_b,w_0,Constr)

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

Estimation of Structured t-Copulas by Attilio Meucci

Recursive routine to estimate structured correlation matrix and degrees of freedom (finance, modeling, analysis)

LogLik(x,Nu,Sigma)

MleRecursionForT(x,Nu,K,Tolerance)

[Nu,C]=StrucTMLE(X,K,Tolerance)

Simulations with Exact Means and Covariances by Attilio Meucci

Exact multivariate normal simulation (finance, statistics, portfolio management)

X=MvnRnd(M,S,J)

S_Test.m

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck by Attilio Meucci

Stat-arbitrage, multivariate Ornstein-Uhlenbeck fit, animation (finance, statistics, statistical arbitrage)

AnimateTrajectory(x,y,z)

[Mu,Th,Sig]=FitOU(Y,tau)

[Mu_t,Sig_t]=ProjectOU(x_0,t,Mu,Th,Sig)

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)

Factors on Demand by Attilio Meucci

Proper implementation of factor models: bottom-up estimation, top-down attribution (finance, statistics, portfolio management)

BlackScholesCall(spot,K,r,vol,T)

ComputeCrossCorrelation(Y_F, Y_Z, Corr_Y_F)

DisplayCumumlBars(C)

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

Exercises in Advanced Risk and Portfolio Management by Attilio Meucci

text and comments on solutions available at http://symmys.com/node/170 (finance, portfolio management, optimization)

BlackScholesCall(spot,K,r,vol,T)

BlackScholesCall(spot,K,r,vol,T)

ChoiceOptimal(Market,InvestorProfile)

Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics by Attilio Meucci

Higher moments at any horizon (quantitative finance, portfolio management, risk management)

[ga,mu]=SummStats(X,N)

ka=Raw2Cumul(mu_)

mu=Raw2Central(mu_)

Historical Scenarios with Fully Flexible Probabilities by Attilio Meucci

State- and time-dependent risk management through Entropy Pooling (quantitative finance, portfolio management, risk management)

C=CallPrice(P, K, r, t, s)

EntropyProg(p,A,b,Aeq,beq)

[m,S]=DoubleDecay(X,lmd_c,lmd_s)

Fully Flexible Bayesian Networks by Attilio Meucci

Specification of conditional probabilities with minimal information through Entropy Pooling (quantitative finance, portfolio management, risk management)

ComputeMoments.m

EntropyProg(p,A,b,Aeq,beq)

[A,b,g]=CondProbViews(View,X)

Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management by Attilio Meucci

Compounded returns for projection/estimation Linear returns for portfolio aggregation (quantitative finance, portfolio management, risk management)

EfficientFrontier(NumPortf, Covariance, ExpectedValues)

[M,S]=Log2Lin(Mu,Sigma)

S_FrontierAtDifferentHorizons.m

Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects by Attilio Meucci

"Beta" not just the CAPM, "Beta" not on log-returns (quantitative finance, portfolio management, risk management)

FlexM(returns,demean,eps,df)

XXX=minfro(A);

[q,qerr,hf,hferr]=garch1f4(x,eps,df)