Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance

american starting program to calculate option prices for american options
arbitrage calculates an arbitrage table considering put and calls with the same strike price
asset help program to calculate option prices for bitree
bitree calculates option prices using the Binomial tree
bs1 calculates option prices using the Black and Scholes formula
callbull calculates the results of a Bull Call Spread for the context of option pricing
cir displays the yield curve for given parameters under the model of Cox/Ingersoll/Ross (1985)
dpgp Drees-Pickands estimator for GP model.
dpgpdiag Diagram of Drees-Pickands estimator for GP model
dpgpgamma Shape parameter of Drees-Pickands estimator.
dpgpgamma Shape parameter of Drees-Pickands estimator.
empme empme evalatues the empirical mean excess function of the data set x at the points t
european starting program to calculate option prices or implied volatilities for european options
financemain loads the libraries needed for the macros in finance
financetest self test of extreme value module
fittail transforms location and scale parameter of GP distribution from fit to exceedances to tail fit.
gp1me gp1me evaluates the mean excess function of the Pareto (GP1) distribution with shape parameter alpha for all elements of a vector.
gpme gpme evaluates the mean excess function of the GP distribution with shape parameter gamma for all elements of a vector.
gpsigmaest estimator for scale parameter within GP models
greeks calculates and displays the different indices which are used for trading with options, in particular delta (the partial derivative of an option with respect to the price S of the underlying asset), gamma (2 x p .d.w.r.t. price S of underlying asset), eta (delta x S / option price), delta-K (p.d.w.r.t. exercise price K), vega (p.d.w.r.t. the volatility of the asset), theta (p.d.w.r.t. the time to expiration), rho (p.d.w.r.t. the domestic interest rate), rho-b (p.d. w.r.t. the costs of carry (in percent of the value of the underlying object).
hill Estimates the tail index of fat-tailed distributions
hillgp1 Hill estimator for GP1 model.
hillgp1diag Diagram of Hill estimator for GP1 model
influence displays the influence of price determining parameters on options. It is using the Black and Scholes formula.
lrseev LRS estimator for EV model
mcmillan calculates option prices using the MC Millan formula
mleev Maximum likelihood estimator for EV model
mleev0 Maximum likelihood estimator for Gumbel (EV0) model
mlegp Maximum likelihood estimator for GP model
mlegp Maximum likelihood estimator for GP model
mlegp0 Maximum likelihood estimator for exponential (GP0) model
mlegpdiag Diagram of maximum likelihood estimator for GP model.
momentgp Moment estimator for GP model.
momentgp Moment estimator for GP model.
momentgpdiag Diagram of moment estimator for GP model.
optstart this is the starting program to calculate option prices or implied volatilities
pickandsgp Pickands estimator for GP model.
pickandsgpdiag Diagram of Pickands estimator for GP model.
stockest stockest is estimating from a given dataset of a random process parameters for the following models: assuming a Wiener Process (model 1), assuming a compounded Poisson Jump Process mixed with a Wiener Process (model 2)
stockestsim using the given data stockestsim is first estimating the parameters for the following models: a Wiener Process (model 1) and a Wiener Process with jumps where the jumps are following a compounded Poisson Jump Process (model 2) and then comparing model 1 and model 2 with the real dataset by simulation
stocksim stocksim is simulating random processes for a stock price by three different ways: using a Wiener Process, using a compounded Poisson Jump Process with a log normal distribution of jump height and using a mixture of both
taills Estimates the tail index of fat-tailed distributions
tgarsim tgarsim is plotting the difference between option prices by Black/Scholes and using risk neutral, GARCH or Treshold GARCH models
xtremes Graphical user interface for extreme value (EV) and generalized Pareto (GP) estimators

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

(C) MD*TECH Method and Data Technologies, 28.6.1999