Financial Derivatives

Design, price, and hedge financial derivative instruments

A financial derivative is a contract that specifies how payments or financial assets are exchanged between two parties based on the value of an underlying financial asset.

You can price and analyze individual and portfolios of equity, credit, and fixed-income derivatives using MATLAB®. You can use the toolbox to compute prices and sensitivities, view price evolutions, and perform hedging analyses.  The toolbox provides support for interest rate derivatives like bonds, options, swaps, swaptions, floating rate notes, caps, bonds with embedded options, as well as several exotic equity options like basket options, digital options, and rainbow options.

See also: credit risk, fixed-income, Financial Toolbox, binomial model, financial derivatives videos

Risk Management with MATLAB

Develop, manage, review, and challenge internal and regulatory models.