black_scholes, a MATLAB code 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 FORTRAN90 version and a MATLAB version and a Python version.
blsprice_test, MATLAB codes which demonstrate the use of the BLSPRICE function, for Black-Scholes option pricing, from the MATLAB Financial Mathematics toolbox.
cnoise, a MATLAB code which generates samples of noise obeying a 1/f^alpha power law, by Miroslav Stoyanov.
colored_noise, a MATLAB code which generates samples of noise obeying a 1/f^alpha power law.
ornstein_uhlenbeck, a MATLAB code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
pce_ode_hermite, a MATLAB 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 MATLAB code which computes a "pink noise" signal obeying a 1/f power law.
sde, a MATLAB code which illustrates some properties of stochastic differential equations, and the algorithms used to analyze them.
stochastic_diffusion, a MATLAB code which implements several versions of a stochastic diffusivity coefficient.