Interest Method

The conjugate gradient method aims to solve a system of linear equations, Ax=b, where A is symmetric, without calculation of the inverse of A. It only requires a very small amount of membory, hence is particularly suitable for large scale systems.It is faster than other approach such as Gaussian...

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...

A problem from Dynamics of Structures - Anil K. Chopra is picked and code written to solve the problem.The problem is to get the dynamic response of a structure using Newmark's method. System is a linear system.


Platforms: Matlab

Semi variance method and scaled windowed variance method for fractal time series analysis.Referernce: Evaluating scaled windowed variance methods for estimating the Hurst coefficient of time series Physica A: Statistical and Theoretical PhysicsVolume 241, Issues 3-4, 15 July 1997, Pages 606-626


Platforms: Matlab

for personal use only.1: the interest rate structure calculation and rules.2: the interest rate model, used frequently in real world.


Platforms: Matlab

The Triangle method is due to Zack (Zack GW, Rogers WE, Latt SA (1977), "Automatic measurement of sister chromatid exchange frequency", J. Histochem. Cytochem. 25 (7): 741d-deOCt53. A line is constructed between the maximum of the histogram at b on the gray level axis and the lowest (or highest...


Platforms: Matlab

The MATLAB file contains a method to find the value of pi. This is just an extension of the general method of finding pi from within a circle. It uses 3D-matrices and some more stuffs, which can be very helpful for educational purposes. Also, do change the values in the file, to see for yourself,...


Platforms: Matlab

We run ROI_extract code in Matlab, and chose the image which want to extract ROI from it and we select the ROI.


Platforms: Matlab

In this Matlab application was perused Jean Le Rand D'Alambert's** Reduction Method for two degree of linear differential equations and several analytical examples are compared with matlab solution applications.**Jean d'Alembert was a a French mathematician who was a pioneer in the study of...


Platforms: Matlab

This code uses conjugate gradient method to solve the linear systemAx= b, where A is symmetric and banded. A is first stored in acompactstorage mode, using the function "compactstorage", and thenconjugate gradient method is applied to the compactly stored matrix.Input: A, initial guess x, vector...


Platforms: Matlab

We present a Matlab toolbox which can solve basic problems related to the Total Least Squares (TLS) method in the modeling. By illustrative examples we show how to use the TLS method for solution of:- linear regression model- nonlinear regression model- fitting data in 3D space- identification of...


Platforms: Matlab

Mortgage calculator. GUI allows inputs of mortgage, interest rate, and amortization period. It calculate monthly payments, total payments and plots curves of interest payments and principal payments for each month. To bring up the GUI type MORT.


Platforms: Matlab

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

To calculate an area S(A) of a figure A, bounded by a Jordan curve (which in our case is constructed by a cubic splineapproximation) the Monte Carlo method is applied


Platforms: Matlab

Fitting a t-copula using the method of moments described in Quantitative Risk Management by McNeil, Frey and Embrechts. The outputs from this function correspond to those of the statistics toolbox's copulafit('t',u) . For large datasets, tcopulafit is immeasurably faster than copulafit('t',u)....


Platforms: Matlab

This simple code shows how the Monte Carlo Chronological method works. This example is intended to be for educational purpose, generating an artificial history data vectors of a single component modeled in a two state Markov chain model and exponentially distributed. You just need to enter the...


Platforms: Matlab

Newton's method for solving a system of nonlinear equations, see http://en.wikipedia.org/wiki/Newton's_methodNewton(X,F,X0) solves nonlinear system F(x)=0 by Newton's method, using the given initial approximation X0. The derivative (Jacobian) is evaluated symbolically. The iterations are...


Platforms: Matlab

COMPOSITE trapezoid Method for numerical calculations & analysis exercises in Numeric Integration. f function is given in terms of a symbolic variable x and as an inline function. E.g., f=inline('x^2+2*x-2'). Also, if the function f is trigenometric function, the 4th argument can be entered as...


Platforms: Matlab

COMPOSITE SIMPSON's method for numerical calculations and analysis exercises of Numeric Integration. f function is given in terms of a symbolic variable x and as aninline function. E.g., inline('x^2+2*x-2'). Also, if the function f is trigonometric function, the 4th argument can be entered...


Platforms: Matlab

COMPOSITE midpoint rule method. Some numerical calculations and analysis exercises of Numeric Integration for comparison analysis. f function is given in terms of a symbolic variable x and expressed as an inline function. E.g., f=inline('x^2+2*x-2'). Also, if the function f is trigonometric...


Platforms: Matlab