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Generate Monte Carlo simulations from SDE models


sde Stochastic Differential Equation (SDE) model
bm Brownian motion models
cev Constant Elasticity of Variance (CEV) models
cir Cox-Ingersoll-Ross mean-reverting square root diffusion models
diffusion Diffusion-rate model component
drift Drift-rate model component
gbm Geometric Brownian motion model
heston Heston model
hwv Hull-White/Vasicek Gaussian Diffusion model
sdeddo Stochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeld SDE with Linear Drift model
sdemrd SDE with Mean-Reverting Drift model


simulate Simulate multivariate stochastic differential equations (SDEs)
simByEuler Euler simulation of stochastic differential equations (SDEs)
simBySolution Simulate approximate solution of diagonal-drift GBM processes
simBySolution Simulate approximate solution of diagonal-drift HWV processes
interpolate Brownian interpolation of stochastic differential equations

Examples and How To

Simulating Equity Prices

This example compares alternative implementations of a separable multivariate geometric Brownian motion process.

Simulating Interest Rates

This example highlights the flexibility of refined interpolation by implementing this power-of-two algorithm.

Stratified Sampling

This example specifies a noise function to stratify the terminal value of a univariate equity price series.

Pricing American Basket Options by Monte Carlo Simulation

This example shows how to model the fat-tailed behavior of asset returns and assess the impact of alternative joint distributions on basket option prices.

Improving Performance of Monte Carlo Simulation with Parallel Computing

This example shows how to improve the performance of a Monte Carlo simulation using Parallel Computing Toolbox™.



Model dependent financial and economic variables by performing Monte Carlo simulation of stochastic differential equations (SDEs).

SDE Models

Most models and utilities available with Monte Carlo Simulation of SDEs are represented as MATLAB® objects.

Performance Considerations

Performance considerations for managing memory when solving most problems supported by the SDE engine.

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