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updated 1 month ago

Forecasting Realised Volatility of MICEX index by Alexandr Cecetov

Dissertation code for MSc in Financial Economics in City University London (micex, high frequency, realized)

Raw RV of normal and log returns.m

Regression 1 HAR-RV.m

Regression 2 HAR-JC.m

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updated 3 months ago

Vectorization of Variance-Covariance Matrix: Column-Wise Order (Multidimensional Arrays) by Monica Mow

Creates a column vector by stacking elements of x that are on and below the diagonal. (vech, volatility, lower triangular)

vechmd(x)

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updated 5 months ago

Option Implied Moments by Matthias Held

Compute implied return distribution moments and prices for return power contracts (implied density, implied moments, volatility)

mOption2price

mOption2stat

mVol2price

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updated almost 3 years ago

Forecasting the FTSE 100 with high-frequency data: A comparison of realized measures by Oleg Komarov

My dissertation for the MSc in Finance & Economics from Warwick Business School (dissertation, fex, finance)

bp(h,numout,varargin)

fltmedian(data,volume)

fltout(dates,price,k,mult)

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updated almost 3 years ago

Exponentially weighted covariance matrix by Tina Yener

Calculates exponentially weighted covariance matrix, correlation and volatilities. (exponentially weighte..., ewma, covariance)

ewma_covariance(data,lambda)

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updated 4 years ago

Historical Volatility by Josiah Renfree

Calculates the annualized historical volatility for a stock over the previous N trading days. (historical volatility, volatility, stocks)

hist_vol(ticker, N)

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updated 4 years ago

Black-Scholes Call and Implied Vol functions by Hemingway

Black-Scholes call option price and implied vol functions. No toolbox required. (implied vol, black scholes, option)

c=call(S,K,r,sigma,t,T,q)

d=d1(S,K,r,sigma,t,T)

d=d2(S,K,r,sigma,t,T)

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updated 5 years ago

Heston Option Pricer by 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

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 5 years ago

Volatility Surface by Rodolphe Sitter

Compute and Plot Volatility Surfaces from Market Prices (volatility, surface, implied volatility)

VolSurface(S0, r, T, K, CallPrice)

Example1.m

Example2.m

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updated 11 years ago

Hodrick-Prescott Filter by Wilmer Henao

Finds the Hodrick-Prescott filter of a series. (finance, modeling, analysis)

hpfilter(y,w,plotter)

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