BLACK_SCHOLES is a MATLAB library which demonstrates several approaches to the valuation of a European call, by Desmond Higham.
BLACK_SCHOLES is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.
BLSPRICE, MATLAB programs which demonstrate the use of the BLSPRICE function, for Black-Scholes option pricing, from the MATLAB Financial Mathematics toolbox.
CNOISE, a MATLAB library which generates samples of noise obeying a 1/f^alpha power law, by Miroslav Stoyanov.
COLORED_NOISE, a MATLAB library which generates samples of noise obeying a 1/f^alpha power law.
ORNSTEIN_UHLENBECK, a MATLAB library which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
PCE_BURGERS, a MATLAB program which defines and solves a version of the time-dependent viscous Burgers equation, with uncertain viscosity, using a polynomial chaos expansion in terms of Hermite polynomials, by Gianluca Iaccarino.
PCE_LEGENDRE, a MATLAB program which assembles the system matrix associated with a polynomal chaos expansion of a 2D stochastic PDE, using Legendre polynomials;
PCE_ODE_HERMITE, a MATLAB program which sets up a simple scalar ODE for exponential decay with an uncertain decay rate, using a polynomial chaos expansion in terms of Hermite polynomials.
PINK_NOISE, a MATLAB library which computes a "pink noise" signal obeying a 1/f power law.
SDE, a MATLAB library which illustrates some properties of stochastic differential equations, and the algorithms used to analyze them.
STOCHASTIC_DIFFUSION, MATLAB functions which implement several versions of a stochastic diffusivity coefficient.
STOCHASTIC_GRADIENT_ND_NOISE, a MATLAB program which solves an optimization problem involving a functional over a system with stochastic noise.
Desmond Higham
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