SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
VermeirJ
Topic Author
Posts: 3
Joined: June 23rd, 2015, 4:48 pm

Matlab Financial Engineering Toolkit

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 Calibration
2) Pricing of Lookback options under Black-Scholes (closed form), Greeks (finite difference approximation), Implied volatility Calibration
3) 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 Greeks
6) Heston Calibration toolkit
 
User avatar
VermeirJ
Topic Author
Posts: 3
Joined: June 23rd, 2015, 4:48 pm

Matlab Financial Engineering Toolkit

August 10th, 2015, 1:27 am

Hi all,

It's been a while since my first post. I Added a Heston Calibration function/Toolkit to the main repository. This is the info from the readme file:

HESTONCALIBRATION - Calibrate the Heston model parameters on an asset and its market options (by using the well known Carr-Madan / FFT / Characteristic function technique). Calibration is done through a randomized 75 percent training, 25 percent testing cross validation approach using the Nelder-Mead simplex algorithm and a weighted bid-ask adjusted RMSE criterion. User has the choice between (inverted) implied volatility weighting, (inverted) bid-ask weighting or equal weighting. Feller condition and other computational considerations are taken into account for maximal performance. Type "help <filename.m>" at the command prompt for a full explanation of the input parameters and some additional examples. An example script and optiondata is also added to demonstrate on how to use the calibration procedure. A graphical illustration of the example calibration result is shown below:



Note that repeated runs of the calibration might give slightly different results for the parameter values because of the randomized nature of the cross validation and the respective overfitting avoidance. This toolkit could also be combined with the option chain / price downloader in order to obtain the necessary information that is needed to perform real time calibrations.

Next up:
- Monte Carlo pricing of Cliquets under Black-Scholes and Heston (possibly mapped on GPU hardware using a C++ / CUDA C interface instead of Matlab)
- Structuring and pricing of (Partially) Principal Protected notes under Heston
 
User avatar
Lapsilago
Posts: 259
Joined: October 15th, 2004, 7:36 am

Re: Matlab Financial Engineering Toolkit

September 30th, 2016, 1:24 pm

Hi,
you might like to use stuff from
https://de.mathworks.com/matlabcentral/ ... nmodelling

Or we might work together here...

Best, Lapsi
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...