Code and Useful Stuff
This page contains some (hopefully) useful Matlab code that we (my coauthors and I) used in our research. Moreover, here you can find the links to some very useful resources for finance, Matlab and other research-related materials.
Useful Matlab Links
Option-Implied Moments
- Model-Free Implied Variance and Skewness from raw Options Data (OptionMetrics)
The ZIP contains test options data, zero cd rates, and the Matlab procedures to compute MFIV and MFIS using the results of Bakshi, Kapadia and Madan (2003) and our interpolation scheme.
High-Frequency Variance, Covariance and Correlation
coming soon!
Portfolio Optimization
coming soon!