Global Derivatives

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Matlab Code

Below you will find a list of various derivatives related Matlab files grouped into categories. We have attempted to provide the simple models, as well as those which rely on simulation techniques or advanced modeling. If you are interested in contributing, please email us.


* Please do send us any errors and / or suggestions that you may have. Greeks and other risk parameters for pricing models will be gradually added.


Please note that all code is available freely for distribution. However, please be kind enough to reference the author / site when using the code.


Vanilla Options || Exotic Options || FX / Interest Rate Derivatives || Economic Derivatives || Weather Derivatives || Trading Strategies || Value-at-Risk


> Vanilla Options

Option Model
Size(kb)
Download
European Black-Scholes (Basic)
2
European Black-Scholes-Merton (Continuous Dividends)
2
European Binomial Method (Cox-Ross-Rubinstein)
2
European Trinomial Method (Boyle)
3
European Greeks
3
European Explicit Finite Differences (Crank Nicolson)
5
European Implicit Finite Differences
4
European Monte Carlo Simulation 1
European Quasi-Monte Carlo (under Moro Inversion)
Adapted from/with This e-mail address is being protected from spambots. You need JavaScript enabled to view it
European Jump Diffusion (Merton)
2
European At-the-Money Forward Approximation 1
European CEV Approach
European Hopscotch Method (Averaging Implicit & Explicit Finite Differences)
European Adaptive Mesh Method
American Roll, Geske, Whaley (Single Dividend)
5
American Carr, Jarrow & Myneni
American Barone-Adesi, Whaley (Quadratic Approximation)
4
American Andrikopoulos (Quadratic Approximation with Boundary Optimality - Put Option)
3
American Ju-Zhong Approximation 3
American Binomial Method
2
American Trinomial Method
3
American Explicit Finite Differences Method
American Bjerksund, Stensland Approximation 3
American Puts Geske & Johnson Approximation
American Hopscotch Method (Averaging Implicit & Explicit Finite Differences)
American Adaptive Mesh Method
American Compared Methods
Implied Volatility From Call/Put Prices (Newton-Rhapson Algorithm)
Implied Volatility Corrado & Miller Approximation
Implied Volatility Brenner & Subrahmanyam At-the-Money Approximation

> Exotic Options

Option Model
Size(kb)
Download
Exchange
Exchange it for something at a certain date
European Closed Form
2
Lookback Floating-Strike
3

> IR / FX / Currency Derivatives

Option Model
Size(kb)
Download
Caplets & Floorlets Black
European Currency Garman-Kohlhagen
European Swaptions Black-76
Equity Linked Forex Reiner
Foreign Equity - Domestic Strike Reiner
Interest Rate Barrier Options Barone-Adesi, Sorwar
Quanto Fixed ER - Foreign Equity



> Fixed Income / Bond Derivatives

Option Model
Size(kb)
Download
Bond Schaefer & Schwartz
Bond Black-76
Bond Binomial - Rendleman & Bartter
Convertible Bond Binomial - Derman (Goldman-Sachs)
Options on T-Bond Futures Black
Options on LIBOR Black

 

> Economic Derivatives


> Weather Derivatives

Option Model
Size(kb)
Download
HDD/CDD
-

 

Trading Strategies

Option Model
Size(kb)
Download
Currency Hedging with Futures Hedge existing currency position
Optimal Delta Hedging European
Trading Strategies Graphs, Details, Definitions

 

Value at Risk

Option Model
Size(kb)
Download
Value at Risk Delta-Gamma Approach (1 asset)
Value at Risk Variance - Covariance Approach (1 asset)
Value at Risk Variance - Covariance Approach (2 asset)
Value at Risk Bond Daily VaR (1 Issue)
 

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