Carlo Masi
Introduction----------------This code simulates commodity spot prices using the Clewlow and Strickland one factor daily spot model using a Monte Carlo approach. The derived stochastic differential equations (SDEs) are solved using several finite difference schemes.The paper detailing the...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 266.24 KB | Download (45): Clewlow and Strickland Commodity one factor spot model Download |
The Hardy Weinberg equilibrium is a fundamental law in genetic.This function was deeply rewrited.If a locus is biallelic the function use the exact Hardy Weinberg test (similar to Fisher exact test) analyzing all possible tables. If you download TERNPLOT functions (ID:2299) the function plots a...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (46): HWtest Download |
Simulates the wall effect in a gaseous thermal neutron detector with a gaseous neutron converter (He-3) using the Monte Carlo method. Based on the gap thickness (in m) and the partial pressure of helium-3 (in bar), this program computes the fraction of events that suffers to some extent from the...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (40): WallEffect Download |
A Zip file containing the examples that were used in the MathWorks webinar: "Pricing Derivatives Securities using MATLAB".Highlights:* Pricing a portfolio of vanilla options using Black-Scholes, a Binomial Tree and Monte Carlo simulation.* Pricing exotic options using the implied trinomial tree...
Platforms: Matlab
License: Freeware | Size: 327.68 KB | Download (43): Pricing Derivatives Securities using MATLAB Download |
Compute European call option price using the Heston model and a conditional Monte-Carlo method [call_prices, std_errs] = Heston(S0, r, V0, eta, theta, kappa, strike, T, M, N)*******************************************************************************INPUTS: S0 - Current price of the underlying...
Platforms: Matlab
License: Freeware | Size: 92.16 KB | Download (41): Heston Option Pricer Download |
This GUI accepts the various constants needed to run a Black-Scholes calculation for pricing several European options:Put, Call, Straddle, Strangle, Bull Spread, Bear Spread, ButterflyIt plots the pricing surface for the appropriate option and then runs a number of Monte Carlo simulations (d
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (47): Simple option pricing GUI Download |
Simulation model to accompany the article, "Monte-Carlo Simulation in MATLAB Using Copulas" in the November 2003 issue of MATLAB News&Notes. The function METAPOP runs the metapopulation simulation model described in the article.MATLABdlT«'s Statistics Toolboxd-OC?D? includes a variety of...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (44): Copula Functions Download |
Applying the inverse transform method to the normal distribution entails evaluation of the inverse normal. This is the Beasley-Springer-Moro algorithm for approximating the inverse normal.Input: u, a sacalar or matrix with elements between 0 and 1Output: x, an approximation for the inverse normal...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (48): Approximating the Inverse Normal Download |
As a coursework, we are required to price a double barriers knock-in binary put option. We used finite difference method in 24 ways and multinomial lattice in 12 ways. We also implemented analytic and Markov chain method. At the end, we compared these four methods and Monte Carlo method.In this...
Platforms: Matlab
License: Freeware | Size: 358.4 KB | Download (47): An Example of Markov Chain and multinominal option pricing Download |
A Monte-Carlo simulation meant to calculate the position of micronsized particles in an optical trap (seen as an harmonic potential). It returns the position in meters. Bead radius, corner frequency/ trapping stiffness, sampling frequency and number of sampled points can be varied. It is small...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (40): BeadFluct Download |
A zip file containing the examples that were used in the webinar: "Teaching and Research of Computational Finance with MATLAB"Including:* GUI for pricing an options via CRR tree* Script for priocing via Finitie differences* GUI for pricing via the Monte Carlo method of Longstaff and Schwartz*...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 71.68 KB | Download (46): Pricing American Options Download |
Online Simulation of Brownian motion in 2d, 3d. Stock Simulation with EWMA, GARCH(1,1). One factor equilibrium interest rate model simulations, estimation and residual testing using Euler's appr. Monte Carlo option pricing with stochastic interest rates.
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (42): Simulation of stochastic processes and parameter estimation of 1-F interest rate models Download |
Chi-square tests of homogeneity and independence.Computes the P-value for I x J - table row/col independence.Ref.: DeltaProt toolbox at http://services.cbu.uib.no/software/deltaprot/Input:X: data matrix (I x J -table) of the observed frequency cells.method: 'RC': Read-Cressie power divergence...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (45): Chi-square tests Download |
Returns a matrix of iid random numbers distributed according to the one-parameter Mittag-Leffler distribution with index (or exponent) beta and scale parameter gamma_t. The size of the returned matrix is the same as that of the input matrices beta and gamma_t, that must match. Alternatively, if...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (47): Mittag-Leffler random number generator Download |
Function PAGE computes the value of Page test statistic for layout matrix x, with subjects in rows and treatments in columns. Midranks are calculated with Matlab's TIEDRANKS.Function MCPAGE computes the value of Page test statistic for layout x and B random within-subject permutations of x,...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (44): Perform Page test Download |
The script gf_mmc_driver.m runs multiple independent instances of a MMC method in parallel with MATLAB's Distributed Computing Toolbox. The outer loop in script gf_mmc_driver.m represents the basic MMC iteration, which initializes and runs a Markov chain and performs a Berg update. In each of the...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (39): Multicanonical Monte Carlo scheme for finding rare growth factors Download |
A collection of M-Files that provide a succesful implementation of the difficult problem of numerical computation of multivariate normal probabilities. This is very useful for the distributed detection with nuisance parameters and in classical multivariate problems. Two methods are used for which...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (50): multinor Download |
The bootstrap is a way of estimating the variability of a statistic from a single data set by resampling it independently and with equal probabilities (Monte Carlo resampling). Allows the estimation of measures where the underlying distribution is unknown or where sample sizes are small. Their...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (40): boothomvart Download |
The bootstrap is a way of estimating the variability of a statistic from a single data set by resampling it independently and with equal probabilities (Monte Carlo resampling). Allows the estimation of measures where the underlying distribution is unknown or where sample sizes are small. Their...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (39): boothomvargr Download |
The bootstrap is a way of estimating the variability of a statistic from a single data set by resampling it independently and with equal probabilities (Monte Carlo resampling). Allows the estimation of measures where the underlying distribution is unknown or where sample sizes are small. Their...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (39): bootanovagr Download |