Monte Carlo Monaco Map

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...

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...

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

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

A fast implementation of particle filter dedicaced to multitarget tracking with bearing only measurements. For the multitarget data association problem, a gibbsampler is used to estimate target association probabilities.Ref : "Sequential Monte-Carlo methods for multple target tracking and data...


Platforms: Matlab

The MATLAB program simulates binary frequency shift keying (BFSK) at baseband through Monte Carlo method. The goal is to simulate bit error rate (BER) over an additive white Gaussian noise (AWGN) channel. For realizing that, the effect of noise is represented in the baseband with Gaussian random...


Platforms: Matlab

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

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

Business Functions Pro is a comprehensive function library for Microsoft Excel with 508 functions for financial modeling, business planning, financial projections, dates, projections and discounted cashflow, function selector, help file, function finder, examples and trace facility for finding...


Platforms: Windows

THE SOLITAIRE SUITE FOR SERIOUS PLAYERS : Solitaire isn't a distraction - don't play it like one. If you're a serious player that prefers a variety of challenges, a clean interface, play similar to real cards, and nothing to help you win except your own ability, then read on - Solebon was made...


Platforms: Mac

1 Introduction This toolbox implements all the routine PLS-related/based algorithms which kind of serves as the basics in chemometrics, including PLS calibration and prediction, leave one out cross validation (LOOCV), K-fold cross validation, Monte Carlo cross validation(MCCV), double cross...


Platforms: Matlab

These routines support the book "Risk and Asset Allocation" Springer Finance, by A. Meucci, see http://www.symmys.comThe routines include many new features:- more uni-, multi- and matrix-variate distributions- more copulas- more graphical representations- more analyses in terms of the...


Platforms: Matlab

The name YASRT stands for Yet Another Simple RayTracer. YASRT was designed to be a stochastic raytracer. It uses the raytracing algorithm to generate realistic pictures from textual descriptions of three-dimensional scenes. By using Monte Carlo raytracing techniques, YASRT supports features such...


Platforms: Mac

Photonics is a photon tracking Monte Carlo package, which calculates photon flux and time distributions in a heterogeneous medium surrounding a light source. The propagation medium and detector and light sources are highly customizable.


Platforms: Mac, BSD, Linux

Revised from Dr. Wang Lihong's MCML. Tested ok on windowsXP+Matlab7.0. Performes about 30% to 40% faster than MCML.Beta version 1.01.qiang.2@osu.edu


Platforms: Matlab

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

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

Indigo Renderer is a 3D rendering software that uses unbiased rendering technologies to create photo-realistic images. In doing so, Indigo uses equations that simulate the behavior of light, with no approximations or guesses taken. By accurately simulating all the interactions of light, Indigo is...


Platforms: Mac, Linux

Ten demos, most of which are shown at The MathWork's financial modeling seminars. All of the demos are in their own folders, which contain the code, and a ReadMe file that explains what the demos do and gives directions on how to run it. The ReadMe also mentions which Toolboxes are needed for...


Platforms: Matlab

The IPP toolbox is a collection of methods for the handling of imprecise probabilities.Contains:- Methods for constructing Dempster-Shafer structures (DSS) by different sampling strategies- Propagation methods using deterministic and Monte-Carlo sampling. Supports Optimization Toolbox routines...


Platforms: Matlab