Quantitative Finance Collector

Jackknifing Bond Option Prices. Programs and data used in the paper:  Swap and LIBOR Rates;   Matlab code for 1-factor CIR in simulations;   Matlab code for 1-factor CIR in applications;   Matlab code for 2-factor CIR in simulations;   Matlab code for 2-factor CIR in applications  

http://www.mysmu.edu/faculty/yujun/research.html

CompEcon is a set of MATLAB functions for solving a variety of problems in economics and finance. The library functions include rootfinding and optimization solvers, a integrated set of routines for function approximation using polynomial, splines and other functional families, a set of numerical integration routines for general functions and for common probability distributions, general solvers for Ordinary Differential Equations (both initial and boundary value problems), routines for solving discrete and continuous time dynamic programming problems, and a general solver for financial derivatives (bonds, futures, options).

http://www4.ncsu.edu/~pfackler/compecon/toolbox.html

Quasi-maximum likelihood toolbox in matlab.

http://www.mathtools.net/files/net/qmle.zip

The primary feature that differentiates GARCHKIT from other GARCH implementations in Matlab is its ability to incorporate covariates into the second moment. The current version of GARCHKIT, 1.0b3, allows univariate ARMA(P,Q)-GARCH(R,S) estimation and simulation using maximum likelihood. The conditional distribution may be normal, student's t or a mixture of two normals.

Version 1.1 now estimates and simulates FIGARCH and GARCH-in-Mean models.

Code can be downloaded at http://www-agecon.ag.ohio-state.edu/people/roberts.628/papers/research/garchkit/garchkit.html

Computes a weighted covariance matrix and associated values

http://www.stanford.edu/~wfsharpe/mat/mlfn.htm