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updated 3 months ago

MULTIVARIATE GARCH BASED ON PCA by Tal Shir

Generage Convariance mairix using PCA-GARCH model (garch, multivariate garch, correlation)

[Cov Corr PCov PCorr PRt Model PRterr NumFac COEFF,SCORE,...

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updated 3 months ago

Li's Copula model for CDS and CDO default intensities and loss function by Francesco Da Vinci

Copula functions for credit loss distribution and default intensities of CDS (cds, cdo, loss distribution)

LiG=LiGaussian(Not, Rho, RR, Times,h, numbofsimulations)

LiGSeller=LiGSeller(Rho, RR, Times,h, numbofsimulations)

LiStudent(Not, Rho, RR, Times,h, numbofsimulations,df)

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updated 1 year ago

Mining Economics with MATLAB by David Willingham

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices (commodities, mining, economics)

FitNPV(NPV)

cashflow(data,NTrials,SYear)

discounting(data,capex,NTrials,sales,discFactorY,salesb)

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updated almost 2 years ago

Matrix Decomposition by Aleksander

Positive definite correlation matrix based on spectral decomposition. Now both for .m, C and Mex (cholesky, decomposition, correlation matrix)

SpectralDP(Correlation)

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updated 2 years ago

SCOPE: interactively tabulate SEER excel variables by Rex Cheung

This takes SEER excel column data interactively, tabulate them, write back in table format. (data import, data export, optimization)

output=xls2tabulate2xls(xlsfilename)

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updated almost 3 years ago

Approaches to implementing Monte Carlo methods in MATLAB by sri

Code for the article in the September 2011 article http://www.wilmott.com/magazine.cfm (wilmott, monte carlo, parallel computing)

PriceArithmeticAsianOption(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionFin(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionPCT(S0,X,r,T,sigma,NSteps,NPaths)

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updated 5 years ago

MATLAB no Desenvolvimento de Modelos para Financas by Elia Matsumoto

Slides and demo files using Brazilian market data. (webinar, matlab, financial modeling)

GP(varargin)

GP_Aversao( )

GP_Inic( )

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