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)

Matrix Decomposition by Aleksander

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

SpectralDP(Correlation)

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)

GARCH Tool by Phil Goddard

User Interface for fitting and evaluating a generic GARCH model using the Econometrics Toolbox. (garch, ar, ma)

GARCHTool

Approaches to implementing Monte Carlo methods in MATLAB by Sri Krishnamurthy

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

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

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

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

Cointegration and Pairs Trading with Econometrics Toolbox by Stuart Kozola

Demo files from the webinar of same title. (cointegration, pairs trading, forecasting)

getMinuteDataFromDB(tableName)

pairs(series2, M, N, spread, scaling, cost)

pairsChart(LCO, WTI)

Energy Trading & Risk Management with MATLAB Webinar Case Study by Ameya Deoras

MATLAB code for the generation asset risk analysis case study (market risk, cashflow at risk, model)

backtestPlantPortfolio(assets, startDate, endDate)

dispatch(capacity, heatRate, VOM, minRun, Elec, NG)

dynamicDateTicks(axH, link)

Modeling Variable Annuities with MATLAB by Yi Wang

Pricing Guaranteed Minimum Withdrawal Benefit (annuities, annuity, variable annuities)

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

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

Modeling Variable Annuities with MATLAB by 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, aFe...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

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( )