GroupVestor Wins National Competition

31 03 2010

GroupVestor, a start-up company I am curently running has recently been selected to participate in the “Velocity Entrepreneur Bootcamp” program. In participating in this program, the team will receive an initial grant, free housing in the “VeloCity” residence, as well as free office space and mentoring services at the Waterloo Accelerator Centre.

Press Release

Accelerator Centre


Some Useful Option Pricing Code

15 03 2010

I have recently started to do alot more coding in my financial modeling (all in MATLAB). Since I was having a pretty tough time finding examples online, I have decided to post some of my work online.

Please note that most of this code is experimental, and should only be used as a guide for vectorization of code in MATLAB.

This code is basic stuff using binomial trees to help get familiar with European options pricing.

You can download the M-files here.


deltaBinomial: returns matricies containing binomial trees in the upper-right. S-> stock price, V-> european option value, delta-> delta hedging ratio, t -> time vector.

interpBinomial: does linear interpolation of the delta hedge matrix. The input vector simuS is a vector of simulated prices (for example, using monte-carlo). Returns the delta hedging ratio for the simulated price vector.

dVarRCVaR: Calculates the VaR and CVaR given a loss vector L, and a confidence level b.

milstein: options pricing using milstein’s method.