Monte Carlo Methods In Finance
This program performs a Monte Carlo simulation of a coherent QPSK communication system and plot the error probability performance over additive whit Gaussian noise channel. The detection is based on correlation metric. Simulation is performed for 10,000 bits and measurements are made accordingly.
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (47): Coherent QPSK simulation and BER vs. SNR curve Download |
In Evolutionary Multiobjective Optimization (EMO), an algorithm produces a set of points in the performance space as an estimation of the Pareto front. A quantitive measure is desired to estimate the closeness of the estimated data points to the true Pareto front.One of such measures is the...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (40): Hypervolume Indicator 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 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 |
The STP Hard Disks Metropolis program is a Monte Carlo simulation of hard disks in two dimensions. The default initial condition is a rectangular configuration of N=64 particles in a box of length L = 40. You can slowly increase the density of the gas (by setting the minimum scale length between...
Platforms: Mac
License: Freeware | Size: 468.99 KB | Download (43): Hard Disks Metropolis Download |
The STP 1DIsing program is a Monte Carlo simulation of a one-dimensional Ising model in equilibrium with a heat bath at temperature T using the Metropolis algorithm. The default is N=64 spins up (s = 1) with no external field with heat bath temperature T=1. STP Ising1D is part of a suite of Open...
Platforms: Mac
License: Freeware | Size: 908.29 KB | Download (37): Ising 1D Download |
Math::Vec is a Object-Oriented Vector Math Methods in Perl. SYNOPSIS use Math::Vec; $v = Math::Vec->new(0,1,2); or use Math::Vec qw(NewVec); $v = NewVec(0,1,2); @res = $v->Cross([1,2.5,0]); $p = NewVec(@res); $q = $p->Dot([0,1,0]); or use Math::Vec qw(:terse); $v = V(0,1,2); $q...
Platforms: *nix
License: Freeware | Size: 10.24 KB | Download (110): Math::Vec Download |
Computes Parallel Analysis criteria (eigenvalues) for determining the number of factors to retain for rotation in factor analysis.
Platforms: Mac
License: Freeware | Size: 1.4 MB | Download (164): Monte Carlo PCA for Parallel Analysis Download |
Project Risk Analysis is for Cost Engineering and Project Management pros who must develop cost estimates of known accuracy and risk on capital investment projects. Uses Monte Carlo Simulation to find the contingency needed to achieve any desired level of confidence. All statistical models are...
Platforms: Windows
License: Freeware | Size: 757.76 KB | Download (473): Project Risk Analysis Download |
When planning and saving for retirement, investors are confronted with a variety of investment choices, ranging from the very safe to very aggressive. There are 100s of Monte Carlo simulators and calculators to assist retirees in projecting a so-called "safe withdrawal rate" (SWR) from their...
Platforms: Windows
License: Freeware | Size: 1.66 MB | Download (526): TIP$TER Download |
Sometimes you define properties in base class and override the getter setter methods in derived classes. Then you find out the base class though has derived properties are still pointing to baseclasse's methods not the overriden ones.
Platforms: Windows, Mac, *nix, Python, BSD Solaris
License: Freeware | Download (56): Rebind class properties Download |
ALAMOUTI performs Monte-Carlo simulation and estimates Bit Error Rate (BER) of Alamouti Scheme [1] over Rayleigh channel. The scheme presumes 2 transmit (Tx) and arbitrary number of receive (Rx) elements. If Rx=1 (one receive element) the ALAMOUTI is transformed to the order 2 transmit diversity...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (51): Alamouti Scheme with GUI Download |
M-files accompanying the " Genetic Algorithms & New Optimization Methods in MATLAB " webinar.These files provide what you need to run the two demos: Optimization of non-smooth objective function, and Optimization of a random stochastic objective function.To run the first demo run the file...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (58): Optimization with MATLAB and the Genetic Algorithm and Direct Search Toolbox Download |
Highlights include:d-deD? Integrating data sourcesd-deD? Valuing and creating a variable annuity productd-deD? Application development and deploymentThis webinar is relevant to practitioners or academics in finance whose focus is quantitative analysis, modeling, risk analysis, and...
Platforms: Matlab
License: Freeware | Size: 911.36 KB | Download (45): Modeling Variable Annuities with MATLAB Download |
This is a part of my books, a book to introduce the matlab use in finance, this is the first part of the series.We discuss the calculation rules and how to use the matlab functions to calculate the fixed income securities. Also we have analyze the detail algorithm.
Platforms: Matlab
License: Freeware | Size: 512 KB | Download (45): Fixed Income calculation(Chinese Version) 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 |
(p)IPHULA is a software that investigates parameters of population history based on a Monte Carlo simulation using the maximum likelihood framework. Further details on how to compile, install, run, and use this program can be found in the (p)IPHULA manual (PDF). Reference: The method is...
Platforms: Mac
License: Freeware | Size: 706.56 KB | Download (44): (p)IPHULA Download |
The Fermat Light Ray model shows a light ray traveling left to right through N homogeneous regions with different refractive indicies. Because light travels in a straight line through a homogenous medium, the path is determined by the vertical coordinates at each boundary. A data table allows...
Platforms: Mac
License: Freeware | Size: 757.76 KB | Download (35): Fermat Light Ray Model Download |
A real-time generalized financial derivatives calculator supporting over 136+ theoretical models from open source libraries. Matrices of prices are created with iterating strikes and/or months. A strike control system can produce any strike. A generalized date engine can calculate re-occuring...
Platforms: Windows
License: Freeware | Size: 6.3 MB | Download (121): OptionMatrix Download |
Attrib4j provides support for using creating and manipulating custom attributes associated with classes, fields, and methods in Java using tools such as javadoc and byte code manipulation libraries.
Platforms: Windows, Mac, Linux
License: Freeware | Size: 834.77 KB | Download (49): Attrib4j - Custom metadata for Java Download |