This code demonstrates simulation of short rate in Hull white model as described in paper Hull White simulation notes by Jeff Greco.

After simulating rt, bond prices calculated by simulation are compared to input term structure

eg., following is output of running this program:


where
BondPrice_Actual : value obtained using input term structure
BondPrice_MC1 : bond price by averaging bond prices in each path
BondPrice_MC2 : bond prices are obtained by using short rates , based on formula
E[exp(X)]= exp(E[X] + 0.5*Var[X])

Author : Saurav Kasera

CDO Pricing Using Gaussian Copulas in Matlab
Pricing Options(European, American, Bermudan and Barrier) using Partial Differential Equations
Simulation of the Vasicek Model using Excel and VBA

This file contains code for getting option price based, based on method as described in paper "" by Logstaff & Schwartz
Valuing American Options by simulation : A Simple Least-Squares Approach

This file contains function BlackScholesPrice, which takes one array of parameter value at a time, while the rest of the parameters are variable values.
eg., to get greeks for price range from S=100 to S=15,use:
S=100:1:105;
CallPutFlag='c'; %call option
X=100; %strike
T=1; %Time duration
r=0.05; %risk free rate
v=0.2; %volatility
[price,delta,gamma,vega,theta]=BlackScholesPrice(CallPutFlag,S,X,T,r,v)

Returned values will be vectors, and easy to use for plots:
eg.,
plot(S,delta);

Calculates weight portfolio using black litterman model as mentioned in Thomas M. Idzorek's paper A STEP-BY-STEP GUIDE TO THE BLACK-LITTERMAN MODEL
Input values are taken from the above paper and results are compared to values mentioned in tables 6,7,8