MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manual do Utilizador descarregar pdf (Página 3)

iii

Contents

R2015a

Price convertible bonds using CRR and EQP lattice

models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-2

Collateral-level computation from credit exposure

simulations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-2

Wrong-way risk example . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1-2

R2014b

Pricing functionality for forward options . . . . . . . . . . . . . . . 2-2

Amortizing caps and floors pricing using lattice models . . . 2-2

Power price simulation example . . . . . . . . . . . . . . . . . . . . . . . 2-2

Hull-White single-factor model calibration using volatility

surface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2-2

SABR option greeks computation . . . . . . . . . . . . . . . . . . . . . . 2-2

Amortizing caps and floors pricing using closed form

solutions (Black or Linear Gaussian two-factor models) . 2-3

Asian options pricing example . . . . . . . . . . . . . . . . . . . . . . . . 2-3

Numerix CrossAsset Integration Layer (CAIL) 11 example . 2-3

1 2 3 4 5 6 7 8 ... 29 30

Sem comentários

MATLAB FINANCIAL TOOLBOX - RELEASE NOTES Manual do Utilizador Página 3