Calculates European option price for a call option using Lewis regularization as described in paper A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes. 2001. and
Pricing options with VG model using FFT
Results are compared to values obtained by MC simulation

Calculates spread of nth to default swap by calculating the probability distribution of the number of defaults by a certain time using recurrence relationship as mentioned in Appendix A of paper Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation . Results are compared to data in tables 1 & 2

Formula for calculating present value of default/accrued / premium leg payments are noted from eqn 39-41 of Copula Functions and their Application in Pricing and Risk Managing Multiname Credit Derivative Products

Note : Running time is around 2-3 mins

Nice set of matlab programs for Value At Risk calculation for a lot of different instruments.
Explantation of the files are found in Lecture notes

keywords: VAR, bootstrap, portfolio, swap, asian option, barrier, straddle

A nice site with lots of example code based on articles including:
An Algorithmic Introduction to Numerical Simulation of Stochastic Differential equations, by D. J. Higham
Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB,

keywods: Euler

Appedix of file contains Matlab code for calculating option price based on Variance Gamma Stock Index methodology.