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)

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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.

Latest downloads (updated 2017-11-23)

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