Finds option price using integration of inverse fourier transform of fourier transform function of modified call option price as described in Carr,Madan,et al papers

Calculates nearest correlation matrix for an input bad correlation matrix using method as described in
section 2 of paper The most general methodology to create a valid correlation matrix for risk management and option pricing purposes

This program calculates price of inflation indexed convertible bond according to Tsiveriotis and Fernandes (TF) / McConnell and schwartz (MS) models as described in paper The Valuation of Inflation-Indexed and FX Convertible Bonds by Yoram Landskroner and Alon Raviv

Results are matched to values mentioned in Tables 1,2,3

Calculates price of European swaption in Hull White model using Jamshidian trick of decomposing option on a coupon bearing bond into a portfolio of put options on bond options which are based on a spot rate r* which satisfies the equation as described in the paper
HW_SWAPTION_FORMULA.pdf

Implementation of paper Jackknifing Bond Option Prices
Homepage are:
Other files in the
Matlab code for 1-factor CIR in simulations;
Matlab code for 1-factor CIR in applications;
Matlab code for 2-factor CIR in simulations;
Matlab code for 2-factor CIR in applications


On Stiffness in Affine Asset Pricing Models : Matlab Programs used in the paper: Bond Pricing with 2-factor CIR, Bond Pricing with 3-factor BDFS.