MS4028 Stochastic differential equations for finance [Homepage]

MATLAB m-files: [single zip file] (Save to your computer, then right-click and choose Extract).

· Random variables:

· randvars1.m

· randvars2.m

· Monte-Carlo simulation:

· GBM_paths.m

· GBM_hist.m

· bistable_paths.m

· bistable_hist.m

· GBM_Euro_call.m

· Black_Scholes_Euro_call.m

· GBM_Euro_call_delta.m

· Hopf.m

· GBM_Euro_call_spread.m

· GBM_Euro_call_downout.m

· GBM_Euro_call_lookback.m

· Trinomial trees and finite difference methods:

· tree_Euro_call.m

· explicitfd_Euro_call.m

· explicitfd_Amer_put.m

· explicitfd_Amer_put2.m

· implicitfd_Amer_put.m

· solve_implicit_tridiagonal_system.m

· CNfd_Amer_put.m

· solve_CN_tridiagonal_system.m

Course summary information, recommended texts: [doc]