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How can I implement Monte-Carlo Simulations in MS Excel?
Monte-Carlo simulation is a very import tool for assessing all kinds of risks and chances. It it widely used in project management, option pricing and business valuation. Often, the input data and the...
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Feedback: What is the Effect of Hedging Options on the Underlying?
More and more investors insist on guarantees on the investments. Theses investments are often created using options or dynamic strategies like CPPI. Recently, these strategies were made available in...
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Matlab GPU toolbox: Benchmarking Accelereyes vs. MathWorks vs. GP-YOU?
There is a great option for speed-up of your Matlab code: Use your graphics card. If you have an Nvidia graphics card, there is a whole universe of optimized code for these cards. The underlying...
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MATLAB GPU toolbox: PCT, GPUMat and Jacket revisted
In my last benchmark of the MATLAB GPU toolboxes, I compared PCT from The MathWorks, Jacket from Accelereyes and GPUMat from GPYou. I now updated theses results with new hardware and new some more...
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What is Model Risk and What Can I Do About it?
Model risk is the risk that the market models in investment banking do not properly reflect the reality. This risk is often neglected or simply ignored. But, it is one of the most important risks as we...
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Financial Modelling (with Matlab Source): A great new book
Joerg Kienitz and Daniel Wetterau present “Financial Modelling: Theory, Implementation and Practice with MATLAB Source”, a great resource on state-of-the-art models in financial mathematics. The...
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