Sometimes, MATLAB seems to be slow and inefficient. MATLAB is great for prototyping and interactive analysis, but sometimes execution speed is crucial. The MathWorks proposes to vectorized your code. Recently, I found that this is not always the best solution for higher speed. A better solution comes from the sparsely documented JIT Compiler which was already introduced […]
Often you find studies how well a specific fund or trading strategy has performed. You must be aware of the fact that basically all studies based on historical data lie – or at least do not tell the full story. There are two highly underestimated effects: Survivor bias and fat tails. Both effects make poor […]
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 authors try to bridge the gap between current research topics and an implementation which can be applied in the real world. That means the authors are neither afraid of practical […]
After benchmarking the GPU performance of Accelereyes Jacket and Matlab PCT, I found that Jacket pushes the limit to best performance much harder than PCT. Now, according to the Accelereyes Blog, The MathWorks took over Jacket. New Jacket licenses are not available any more. Consequently, for a moment, the only available options left for GPU […]
Finally, after at least 13 years of slow GUI evolution from MATLAB 5, The MathWorks decides to break with the past and offer a graphical revolution for MATLAB 8. MATLAB 8 – R2012b comes with a fresh ribbon style GUI known from MS Office. Another interesting change is the publishing of so-called Apps. After Apple and […]
Being member of the MSDN, I just installed and tested the new Windows 8, Office 2013 and Visual Studio 2012. The step in MS Windows evolution is actually quite big and in the following, you find my first impression.
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 optimized code. Previously, we used a GeForce GTX 275. Now, we also use the GeForce GTX 520 Ti. On this hardware, […]
Everything to String? How the simple MATLAB script “seemore” can cure the curse of the console. For about 50 years programmers had learned to love their monospaced console output. For log files, debugging output or even regular results hardly anything could seriously challenge the text console as the primary output of choice. However, a new feature […]
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 technology is called CUDA and many of the required functions for a transparent usage from Matlab already exist. There are […]
In the previous posts, we saw that it is easy to create a PDE solver for pricing options. But, what happens if one likes to price more complex structures like convertible bonds or variable annuities?
In this article, we build a very simple PDE solver for the Black-Scholes Equation. Using the Finite Volume Discretization Method, we derive the equations required for an efficient implementation in Matlab. The implicit Euler time-stepping of the solver guarantees a stable behavior and convergence. All posts in this series: Basics of a PDE solver in Matlab Pricing American options with […]
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 reporting should be placed in MS Excel. This article presents the different options available for combining Monte-Carlo simulation and MS Excel.
The Cost of Redundancy Expensive resources spent on computer grids are often wasted. An example from the financial industry teaches how repeated and redundant calculations can eat up all the computing power. Theta Proxy, a simple and yet generic solution, has the potential to save millions in server costs. Nowadays much of the computation time […]
Theta Proxy XL is a new product from my company Thetaris. It promises speed-ups of several orders of magnitude. Here, I present some benchmark results. These will help you to decide when to apply Theta Proxy XL and when to stay with plain MS Excel. Test Case 1: European Option VBA Monte-Carlo Code (2 free […]
A good library design requires a separation of the functionality into modules with an appropriate API. The size of the modules is determined by the application. While for a simple trading application a good API might contain everything from fitting the stochastic processes to pricing an option under a single function, this is completely insufficient for assessing model […]
Often, it is required to run multiple similar simulation models, e.g. for computation of Greeks like Delta, Gamma, Vega, etc. Another reason for multiple calls is that one wants to estimate the accuracy of a pricing. Using the Matlab Parallel Toolbox, this can be accelerated substantially.
Since version 2008a, the Matlab m-language is extended to include some object orientation. This object-oriented programming style allows reuse, inheritance, encapsulation, and reference behavior. Example The following m-code is a generic abstract class for implementing classes which generate processes accessible in ThetaML. The object following class generates a Geometric Brownian Motion. This process can be accessed in […]
A brilliant website is the perfect example for user friendly interactive data visualization: Gapminder. This website presents statistical data about the countries of the world and how it changes in time. A user-friendly AJAX user interface allows you to get gain new insights exploring this data. They have done a great job. Google bought this […]
It is possible to connect Java and MS Excel using various technologies. Some of theses technologies include COM and DCOM wrappers like Groovy Scriptom, or J-Interop. Or other direct addin solutions like XLLoop. In this article, we want to follow a different paths: Webservices with SOAP. This connection type is designed for the internet with […]
This question often arises, when you need to provide pricing functions for end-users and connect them to data sources, especially real-time data feeds. The answer heavily depends on your existing code you would like to include.
Computer Aided Finance - Excel, Matlab, Theta Suite etc. 