As I start to work on some stochastic vol model for equity option pricing, I'm thinking about if my department should purchase a copy of Matlab (we also get some long term plan). I did some research on mathworks.com Beside the base Matlab product, there are so many modules available. What toolbox should I get? For example. I think I may need optimization toolbox and Partial Differential Equation Toolbox ( Or not?). What else are important for equity derivative modeling? Do I need all those toolbox in “Financial Modeling and Analysis”. They add up to a very high price.Thank you very much!Wondering

I have all the toolboxes but I only use the optimization toolbox and sometimes the statistics toolbox. There are some financial toolboxes but they are not very useful. You will end up implementing your own functions anyways.

Hello,optimization and statistics toolbox make sense for the beginning. The stuff in theFinancial Toolboxes (Main, Deriv, Time Series, Fixed Income, GARCH) you could all implement yourself. However, if you are a beginner in Matlab, it would probablytake you long, so it might make sense to buy one of the Financial Toolboxes to see"how things are done in Matlab". The toolboxes are not black boxes, you normally(unless there is a very computationally intense exercise, which is implemented innative code called from Matlab) see the full m-code.If you have grasped the concepts, you will see that you can implement other functionalities yourself, so you do not have to buy the other toolboxes.Matlab is great for prototyping and my personal experience says that for what Ineed 10 days in C++ I need 5 days in C# and 1 day in Matlab. Your tradeoff isspeed, although you can circumvent this by compiling to native code once you gointo production phase. So another useful add-on would be the Matlab compilerlater on.HTH,Hans-Marc