sde, a MATLAB code which illustrates the properties of stochastic differential equations and some algorithms for handling them, by Desmond Higham.
The original version of these routines is available at "https://www.maths.strath.ac.uk/~aas96106/algfiles.html".
The computer code and data files made available on this web page are distributed under the MIT license
sde is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.
black_scholes, a MATLAB code which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.
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colored_noise, a MATLAB code which generates samples of noise obeying a 1/f^alpha power law.
correlation, a MATLAB code which contains examples of statistical correlation functions.
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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.
stochastic_diffusion, MATLAB functions which implement several versions of a stochastic diffusivity coefficient.
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Desmond Higham