Jul
27

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.

Jul
26

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

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

Jul
26

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.

Jul
26

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.

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.

Jul
26

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

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