QuantCandy's Blog

See the library here: http://www.classiccmp.org/transputer/finengineer/

Talk given at Grant’s Investment Conference, April, 2008.  Provides analysis of Value at Risk and where this metric gives misleading result and how Einhorn questioned ratings agency analysts about hedge and counterparty risk for major financial institutions.  A fascinating read.  See the pdf link here.

Speaking of Black-Scholes, here are a few more papers.

The original paper by Fischer Black, Use the Holes in Black Scholes 

Nova has a great site for understanding the Black Scholes equation, see in particular “The Formula That Shook the World”

If you are learning Matlab, one of the best resources is completely free. 

Check out this free online book Numerical Computing with Matlab by the father of Matlab, Cleve Moler.  This book is great because it introduces the reader to matlab via mathematics and numerical analysis. 

Programming Tutorial in Matlab This document is a tutorial to the basic functions of matlab, with applications in financial math.  The document is directed towards creating code for a binomial model so is very appropriate, includes graphics.

Statistical Analysis in Matlab, including MLE, multiple regression and stochastic processes, is covered in these documents from a university author. Tutorial Part I  covers the basics, Tutorial Part II is applied to statistics.

This document Intro to Financial Engineering via Matlab by Dr Brad Baxter, School of Economics, Mathematics and Statistics Birkbeck College, London W1CE 7HX provides an overview of options with code for matlab implementation, as well as analystic derivations of put and call prices for comparison. 

This is another document by the same author who goes into much greater detail on financial engineering approached via Matlab. James Lesage has a wonderful tutorial on econometrics and matlab.