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)

Heston Option Pricer by Rodolphe Sitter

Compute European call option price using the Heston model and a conditional Monte-Carlo method (heston, blackscholes, call)

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

Algorithmic Trading with MATLAB - 2009 update by Ameya Deoras

M-file scripts and Simulink models from webinar on 28 May 2009 (algorithmic trading, high frequency, finance)

callnnpiter

ema(x,N)

emstd(X,N)