QuantCode - BAW American Option Pricer (Matlab) []

Featured Job Listings

	.NET (3)		C++ (44)		Excel (132)
	Gauss (1)		Java (7)		Mathematica (5)
	Matlab (150)		Quantlib (13)		R (4)
	SAS (1)		SPlus (2)

There are 363 files in our database

Latest Listings

Category: Matlab	View Full Details
BAW American Option Pricer (Matlab)
Submitter: heatrate	Date: 2010/6/29

Description: Folks - I have attached the BAW American option pricing approximation model in Matlab code. If anyone else has a BAW implementation that they can use to test against my implementation for accuracy I would greatly appreciate it. If there are any errors please feel free to bring them to my attention so that I can correct and re-distribute.
61 0 bytes http://www.quantcode.com/modules/docmanager/view_file.php?curent_file=265&curent_dir=1
Rating: 0.00 (0 votes) Rate this File \| Modify \| Report Broken File \| Tell a Friend \| Comments (0)

Category: .NET	View Full Details
Fairmat Modeling platform for derivatives pricing
Submitter: matteot	Date: 2010/6/19

Description: Fairmat is a multi-platform software that allows to model financial contracts, e.g. a derivative contract like an interest rate swap, or projects with many contingencies, e.g. a Real Options model, by decomposing it into basic parts. Fairmat is extensible by means of plug-ins.
58 6.68 MB windows, linux, mac os x http://www.fairmat.com
Rating: 0.00 (0 votes) Rate this File \| Modify \| Report Broken File \| Tell a Friend \| Comments (0)

Category: Matlab	View Full Details
Monte Carlo pricing of Down-out Call Barrier option
Submitter: weareda	Date: 2010/6/3

Description: Hope this helps!!!
149 1 bytes none
Rating: 0.00 (0 votes) Rate this File \| Modify \| Report Broken File \| Tell a Friend \| Comments (0)

Category: Matlab	View Full Details
Quanto Option
Submitter: Pitoburo	Date: 2010/3/30

Description: Compute the price of a Quanto option using the formula from Haug's book
136 0 bytes MATLAB 7.9.0.529 with Statistics Toolbox www.quantcode.com
Rating: 0.00 (0 votes) Rate this File \| Modify \| Report Broken File \| Tell a Friend \| Comments (0)

Category: Matlab	View Full Details
Matlab Code: "Correlation expansions for CDO pricing"
Submitter: miemiec	Date: 2010/2/3

Description: An implementation of an algorithm proposed in the paper P.Glasserman, S.Suchintabandid, "Correlation expansions for CDO pricing", J. Bank Finance (2007) 31, 5, 1375-1398.
189 26 bytes http://www.xing.com/profile/Andre_Miemiec
Rating: 10.00 (1 vote) Rate this File \| Modify \| Report Broken File \| Tell a Friend \| Comments (0)

Recent Quant Finance Jobs

Quant Finance Jobs ID# 9721 : Commodities – Quant Analyst - London
Quant Finance Jobs ID# 9719 : ++ Quantitative Developer – Interest Rates
Quant Finance Jobs ID# 9705 : Equity Derivatives/ Exotics Trader
Quant Finance Jobs ID# 9704 : Hedge Fund - Commodities – Front office Quant Analyst - NJ - United States
Quant Finance Jobs ID# 9703 : eFX Distribution – NY

Shortcuts to search from Quantitative Finance Jobs
Skill	Java	C# .NET	Matlab	Mathematica	C++	Database	Excel
Location	New York	Chicago	London	Paris	Tokyo	Singapore	Canada
Role	Analyst	Developer	Structurer	Junior Quant	Senior Quant	Strategist	Rich Quant
Sector	Hedge Fund	Credit Derivatives	Mortgage	Trading	Equity Derivates	Front Office	Fixed Income

Post Job

Employers - View Resumes

Featured Recruiters