Factors on Demand
Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out N
To walk through the code and for a thorough description, see
Meucci A., "Factors on Demand",
Latest version of article and code available at http://symmys.com/node/164
Citation pour cette source
Attilio Meucci (2024). Factors on Demand (https://www.mathworks.com/matlabcentral/fileexchange/26853-factors-on-demand), MATLAB Central File Exchange. Extrait(e) le .
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- Computational Finance > Financial Toolbox > Portfolio Optimization and Asset Allocation >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Equity Derivatives >
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Créez des scripts avec du code, des résultats et du texte formaté dans un même document exécutable.
FactorsOnDemand/NoGreekHedging/
FactorsOnDemand/SelectionHeuristics/
FactorsOnDemand/StatisticalVsCrossSectional/
Version | Publié le | Notes de version | |
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1.6.0.0 | updated references |
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1.5.0.0 | Added case study |
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1.1.0.0 | Added one case study, also detailed in the above article |
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1.0.0.0 |