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call: function to calculate BS call price
call_vega: BS call vega (i.e. partial derivative of call with respect to vol)
Phi: normal cdf
PhiPrime: normal pdf
impvol: finds vol given a call price

demo: a script demonstrating the impvol function

d1 and d2 are auxiliary functions

NOTE: the impvol function is *hugely* faster than the financial toolbox's function blsimpv (950 call prices, other...



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,...