sde, a Fortran90 code which illustrates the properties of stochastic differential equations (SDE) and some algorithms for handling them, making graphics files for processing and display by gnuplot(), by Desmond Higham.
The code requires access to the qr_solve() library as well.
The information on this web page is distributed under the MIT license.
sde is available in a C version and a C++ version and a Fortran77 version and a Fortran90 version and a MATLAB version and an Octave version and a Python version.
black_scholes, a Fortran90 code which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.
colored_noise, a Fortran90 code which generates samples of noise obeying a 1/f^alpha power law.
correlation, a Fortran90 code which contains examples of statistical correlation functions.
gnuplot_test, Fortran90 codes which write data and command files so that gnuplot() can create plots.
ornstein_uhlenbeck, a Fortran90 code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
pink_noise, a Fortran90 code which computes a "pink noise" signal obeying a 1/f power law.
qr_solve, a Fortran90 code which computes the least squares solution of a linear system A*x=b.
Original MATLAB version by Desmond Higham. This version by John Burkardt.