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updated 1 year ago

GARCH,EGARCH,NAGARCH,GJR models and implicit VIX by Luis Espejo

Luis Espejo

Estimate GARCH/EGARCH/NAGARCH/GJR parameters from a time series of prices , rates and VIX value. (garch, vix, calibration)




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updated 2 years ago

SCOPE: interactively tabulate SEER excel variables by Rex Cheung

Rex Cheung

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


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updated 3 years ago

Demo Files for "Optimizing Lookup Tables" Seminar by Teja Muppirala

Teja Muppirala

Demo Files for "Optimizing Lookup Tables" Seminar (presented at MATLAB Expo 2011) (optimization, lookup tables)

makeplot(x, optimValues, state)



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updated 3 years ago

Improving MATLABĀ® performance when solving financial optimization problems by Jorge Paloschi

Jorge Paloschi

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, (optimization, finance, symbolic)



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updated almost 5 years ago

Modeling Variable Annuities with MATLAB by Yi Wang

Yi Wang

This demo shows how to price variable annuity product (Guaranteed Minimum Withdrawal Benefit) (va, variable annuities, variable annuity)

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

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

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