Jul 27

#### Asian Option Pricing

Posted by abiao at 09:33 | Code » Matlab | Comments(0) | Reads(13865)
Here is the MATLAB implementation of the pricing of Asian options from the paper Unified Asian Pricing by Jan Vecer (2002), Risk, Vol. 15, No. 6, 113-116.

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Jul 26

#### Matlab-GUI equity derivative calculator

Posted by abiao at 09:17 | Code » Matlab | Comments(1) | Reads(18635)
This is simple Matlab-GUI files i wrote learning to code an equity derivative calculator, options include:

European option
American option
Asian option
Index future
Cash-or-nothing option
Asset-or-nothing option
Lookback option
Chooser option
Compound option
Exchange option
Power option

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Jul 26

#### Mersenne Twister random number generator

Posted by abiao at 08:21 | Code » C++ | Comments(0) | Reads(11577)
SFMT is a new variant of Mersenne Twister (MT) introduced by Mutsuo Saito and Makoto Matsumoto in 2006. The algorithm was reported at MCQMC 2006.  The article will apper in the proceedings of MCQMC2006. (see Prof. Matsumoto's  Papers on random number generation.) SFMT is a Linear Feedbacked Shift Register (LFSR) generator that generates a 128-bit pseudorandom integer at one step. SFMT is designed with recent parallelism of modern CPUs, such as multi-stage pipelining and SIMD (e.g. 128-bit integer) instructions. It supports 32-bit and 64-bit integers, as well as double precision floating point as output.

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Jul 26

#### Singular value decomposition

Posted by abiao at 08:17 | Code » C++ | Comments(1) | Reads(12586)
The singular value decomposition of MxN matrix A is its representation as A = U W V T, where U is an orthogonal MxM matrix, V - orthogonal NxN matrix. The diagonal elements of matrix W are non-negative numbers in descending order, all off-diagonal elements are zeros.

The matrix W consists mainly of zeros, so we only need the first min(M,N) columns (three, in the example above) of matrix U to obtain matrix A. Similarly, only the first min(M,N) rows of matrix V T affect the product. These columns and rows are called left and right singular vectors.

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Jul 26

#### Normal Inverse Gaussian(NIG) and other stochastical vol model

Posted by abiao at 08:11 | Code » VBA/Excel | Comments(1) | Reads(13299)
stochastic volatility / other models

NIG_tiny_withDLL.zip
Normal Inverse Gauss option pricer (with Esscher transform correction), Excel + DLL, and
a Maple worksheet with short explanations, cf Schoutens book "Levy Proccess in Finance"

VG_Pricer_short(Maple).pdf
A 'brute' option pricer for the Variance Gamma model (Madan, Carr, Chang 1998) in Maple

VG_small.zip
Variance Gamma model in Excel + DLL; it uses a gamma distribution pdfGamma(a,x)
which accepts large numerical arguments

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