black_scholes, a Fortran90 code which demonstrates several approaches to the valuation of a European call, creating graphics files for processing by gnuplot, by Desmond Higham.
The information on this web page is distributed under the MIT license.
black_scholes 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.
colored_noise, a Fortran90 code which generates samples of noise obeying a 1/f^alpha power law.
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.
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 Fortran90 code 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 Fortran90 code which computes a "pink noise" signal obeying a 1/f power law.
sde, a Fortran90 code which illustrates the properties of stochastic differential equations, and common algorithms for their analysis, by Desmond Higham;
stochastic_diffusion, a Fortran90 code which implements 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.
stochastic_rk, a Fortran90 code which applies a Runge-Kutta scheme to a stochastic differential equation.
Original MATLAB version by Desmond Higham;
This version by John Burkardt.