Andrea Barletta
Repository of my MATLAB codes
In this page I share some MATLAB codes that I have developed during my independent research.
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rndfittool - Risk-neutral Density Fitting Tool
The Risk-neutral Density Fitting Tool tool (rndfittool) allows the user to infer the risk-neutral density (RND), the risk-neutral moments and the greeks embedded in a set of observed call and put option prices. The underlying methodology is fully non-structural, meaning that it does not rely on any parametric model, and it consists in approximating the RND through orthogonal polynomial expansions. A detailed description of this methodology is provided in this paper and this paper.
Latest downloads (updated 2018-12-12)
viximpv - VIX Implied Volatility Toolbox
This toolbox computes approximate values of the Black & Scholes implied volatility of VIX options using the perturbative technique described in this paper. The modelling setup requires that the VIX index dynamics is explicitly computable as a smooth transformation of a purely diffusive, one-dimensional Markov process Y.