pink_noise, a C++ code which can generate random values taken from an approximate pink noise signal obeying a 1/f power law.
The information on this web page is distributed under the MIT license.
pink_noise is available in a C version and a C++ version and a Fortran90 version and a MATLAB version and an Octave 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), and common algorithms for their analysis, by Desmond Higham;
stochastic_rk, a C++ code which applies a Runge-Kutta (RK) scheme to a stochastic differential equation (SDE).