July 22nd, 2015, 11:09 pm
Hi all,I have recently started a small Matlab based financial engineering project and added it to GitHub. I intend on contributing minor subpackages and functionality to the project periodically. Once the codebase grows a bit larger, the project can hopefully serve the community as a useful open source FE toolkit. You can check out the project here. It would be nice if other people would be interested in contributing to the project on a best effort basis as well. Let me know if you're interested..Available subprojects:1) Pricing of barrier options under Black-Scholes (closed form), Greeks (finite difference approximation), Implied volatility Calibration2) Pricing of Lookback options under Black-Scholes (closed form), Greeks (finite difference approximation), Implied volatility Calibration3) Stock path simulation under Black-Scholes and Heston (can be used for monte carlo runs)4) Yahoo Option Chain Downloader (Parsing/Downloading option data and stock price information from the yahoo finance website)Next up:5) Monte carlo pricing of Cliquets under Black-Scholes / Heston, dito Greeks6) Heston Calibration toolkit