Appnedix of the pdf file contains MATLAB code for pricing of options in Heston Model, using various approaches like FFT/ numerical integration

This file contains MATLAB code to perform Monte Carlo simulation for getting price of an European swaption under the Libor Market Model (LMM) framework.
It is based on Milstein scheme discretization. For equation, pl refer to
Fixed income Lecture notes on page 82

This is a simple tutorial or demo for understanding the concept of maximum likelihood estimation.

We generate a sequence of random variables for a given degrees of freedom parameter. Then we go back and maximize the log likelihood function to get back the paramater used for generation of the random variables.

Based on paper Calibration of the SABR model in illiquid markets
Calibrates alpha,rho,nu parameters of the SABR model for each maturity for a given set of market implied volatilties.

Note: MarketData structure can also be obtained by copying data from the "FilteredVols" tab after running the spreadsheet in Live Option Implied Vol Surface

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