pink_noise, a C++ code which can generate random values taken from an approximate pink noise signal obeying a 1/f power law.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
pink_noise is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.
BLACK_SCHOLES, a C++ code which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.
COLORED_NOISE, a C++ code which generates samples of noise obeying a 1/f^alpha power law.
CORRELATION, a C++ code which contains examples of statistical correlation functions.
ORNSTEIN_UHLENBECK, a C++ code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
SDE, a C++ code which illustrates the properties of stochastic differential equations (SDE's), and common algorithms for their analysis, by Desmond Higham;
STOCHASTIC_RK, a C++ code which applies a Runge-Kutta scheme to a stochastic differential equation.