|Code Listing by Vincent Leclercq|
This set of files show some of the principles of Monte Carlo simulations, applied in the financial industry. this is the content of the web seminar called "Simulations de Monte Carlo en MATLAB".
The slides are in French and a copy in English is also available
You will find here :
* how to code your own monte carlo simulation, for option pricing
* a comparison of some of the Variance Reduction...
In this set of files, I propose a simple CPPI (Constant Proportion Portfolio insurance) implementation. One can run the backtesting of such a strategy, playing with the parameters of the strategy such as Multiplier (Risk Exposure), or Smoothing...
his package is composed in fact of 2 things :
- First thing is MATLAB M file, with a dll and a header file. This script shows how to call some functions from the dll included
- The zip file included is the complete Visual studio project,...
This function look in the specified workbook to a specific Named range given as an input. If not found, an empy matrix is returned. the workbook should be an absolute path.
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