This Matlab based Financial Engineering Toolkit contains several smaller subprojects in the domain of Financial Engineering and the Structuring of Financial products. Each of the subprojects contains its own readme file with additional information regarding the added functionality.
- Pricing, Greeks, implied volatility of barrier options under Black-Scholes.
- Pricing, Greeks, implied volatility of Lookback options under Black-Scholes
- Stock path simulation under Black-Scholes and Heston
- Yahoo Option Chain Downloader
- Heston Calibration Toolkit
- Structuring of a Reverse Convertible (Paper and Demo)
Copyright 2016 Jellen Vermeir. jellenvermeir@gmail.com
Matlab Financial Engineering Toolkit is free software: you can redistribute it and/or modify it under the terms of the GNU Lesser General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. Matlab Financial Engineering Toolkit is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU Lesser General Public License for more details.
You should have received a copy of the GNU Lesser General Public License along with Matlab Financial Engineering Toolkit. If not, see http://www.gnu.org/licenses/.