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CCFEA

::Kyriakos::CCFEA::

These pages mainly serve as the file depository for the CCFEA Computational Finance Workshop. Eventually all workshop notes and all Matlab programs will be here to be downloaded. All programs are written in Matlab v6.1

The available notes, programs and references are the following:

  • Workshop 1: Characteristic Function and Regime Switching Models
    • Adobe Acrobat notes
    • Matlab code on the FFT computation of probability densities
    • Matlab code on the c.f. of the variance-gamma model
    • Matlab code on the FFT computation of option prices
    • Matlab code on regime switching ML estimation
    • Data used for the sample estimation (monthly Dow Jones 1930-2004)
    References: Bakshi and Madan on spanning and derivative security valuation, Carr and Madan on option pricing using FFT, Bailey and Swarztrauber on the fractional FFT

  • Workshop 2: Stochastic Volatility Models
    • Adobe Acrobat notes
    • Matlab code on the GARCH estimation using ML
    • Matlab code on the calibration of the Heston SV model
    • Data used for the sample estimation (monthly Dow Jones 1930-2004)
    • Data used for the calibration of the SV model
    References: Ghysels, Harvey and Renault on stochastic volatility, Duffie, Pan and Singleton on option pricing of affine jump diffusions, Garcia, Ghysels and Renault on the econometrics of option pricing
    • Matlab code on the ML estimation of the Heston GARCH variant for option pricing


  • Workshop 3: Implied Risk Neutral Densities and Trees
    • Adobe Acrobat notes
    • Matlab code on the parametrization if the implied volatility surface
    • Matlab code on the extraction of the risk neutral density
    • Matlab code on the calibration of a binomial tree to the volatility surface
    • Data used for the calibration of the SV model
    References: Bahra surveys the extraction of implied risk neutral densities, Derman and Kani on the implied binomial tree, Bates on the market for crash risk, Barle and Cakici on the modified implied binomial tree, Derman on the different volatility regimes

  • Workshop 4: Value-at-Risk
    • Adobe Acrobat notes
    • Matlab code on the Monte-Carlo VaR computation
    • Matlab code on the principal component analysis
    • Data used for the principal component analysis
    References:

  • Workshop 5: Extreme Value Theory
  • Workshop 6: Long Memory Processes
    • Adobe Acrobat notes
    • Matlab code on the estimation of the fractional parameter
    • Data used for the estimation of the fractional parameter
    References: Phillips and Shimotsu on the Exact Whittle Estimation of the fractional parameter, Parke gives a survey on fractional integration, some more slides by Ooms

Since our contact hours are limited, a Bulletin Board has been set up for us to post our comments and questions. You can choose a nickname and an avatar icon for your messages, and you should use the CCFEA section. I will do my best to review the boards regularly, and I encourage you to exchange your opinions through this message board. It is in an experimental stage and the best we can do is hope that it works OK :)

Students might find useful the various Matlab manuals. They are in Adobe Acrobat (*.pdf) format and can be downloaded free of charge.

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