(Please feel free to send me an e-mail to call for the Matlab codes or the m-files: mjcfs@iscte-iul.pt)
Converge Properties for the Taylor’s expansion with Lagrange Remainders
Determination of the order n required to determine the Neper number (e) up to the 4th decimal
Matlab function whose single output is a vector v = (v1,v2,…,vn) containing the values f(k) = (a), where K = 0,…, n-1 of a function y = f(x) in a given point x = a with the plot and the first n-1 Taylor Approximations around x = a
Newton’s method to determine all the solutions, accurate to within 10−4, for specific functions
Implemention of the Regula Falsi method that chooses the iteration generated by the secant method, provided it is bracketed between successive iterations, and, otherwise, chooses the iteration according to the bisection method, in order to test this method with appropriate examples, determining its rate of convergence
Matlab procedure that takes the 6 inputs and returns the Black-Scholes option value: V = BSVal (S , K, tau, r, delta, sigma) with the function normcdf to compute Φ
MATLAB function that, given (S, K, τ, r, δ, V ), computes the so-called “implied volatility” sigma = impVol (S, K, tau, r, delta, V), by using Newton’s method to solve, for σ, the equation V = BSVal (S, K, tau, r, delta, sigma)
Implemention of the Gauss-Seidel’s method to compare its performance with that of Jacobi’s method
Implemention of the Newton’s method for the solution of systems of non-linear equations F(x) = 0
Solve the system of a simple Cournot duopoly model with a non-linear system of equations
Matlab function whose output simulates one outcome of a random variable
Create a Matlab function whose output simulates the position (X, Y ), after N steps, of a random walk in ℤ2~
Determination, numerically, the absolute minimum of functions, f
Script that implements the Fletcher-Reeves method
Matlab function that receives a set of data and gives back the least squares estimates and also plot a graph where the line and the data are all represented
Implemention of the Quadratic Penalty Method (QPM)
Matlab function to generate the numeric solution to an initial value problem using a second order Taylor Method