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.
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...
Function PAGE computes the value of Page test statistic for layout matrix x, with subjects in rows and treatments in columns. Midranks are calculated with Matlab's TIEDRANKS.
Function MCPAGE computes the value of Page test statistic for...
Applying the inverse transform method to the normal distribution entails evaluation of the inverse normal. This is the Beasley-Springer-Moro algorithm for approximating the inverse normal.
Input: u, a sacalar or matrix with elements...
HapCluster is a software package for linkage disequilibrium mapping.
It is based on a Bayesian Markov-chain Monte Carlo (MCMC) method for fine-scale linkage-disequilibrium gene mapping using high-density marker maps.
The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.
Use CorrelationExample.m that applies a simple example...
Function for pricing basket option using Monte Carlo Simulation. You can specify if you want an American option. For American options, it follows LMS algorithm. You can choose to specify Averaging date, Average Price, Average type etc.
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...
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...
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...
To calculate an area S(A) of a figure A, bounded by a Jordan curve (which in our case is constructed by a cubic spline approximation) the Monte Carlo method is applied
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...
A collection of M-Files that provide a succesful implementation of the difficult problem of numerical computation of multivariate normal probabilities. This is very useful for the distributed detection with nuisance parameters and in classical...
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, Butterfly
It plots the pricing surface for the...
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...
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...
An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate
The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life.
QuantLib is written in C with a...
This programs discretizes the CEV (constant elasticity of volatilty process and uses the process to price an option using Monte Carlo methods.
Permutation or randomisation tests are a useful alternative to more standard parametric tests for analysing experimental data. They have the advantage of making no distributional assumptions (such as Normality)about the data, while remaining as... |