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Specification

Create SDE models

Classes

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

Functions

sde Construct SDE model from user-specified functions
bm Construct Brownian motion models
cev Construct Constant Elasticity of Variance (CEV) models
cir Construct Cox-Ingersoll-Ross mean-reverting square root diffusion models
drift Construct drift-rate model components
diffusion Construct diffusion-rate model components
gbm Construct GBM model
heston Construct Heston model
hwv Construct HWV model
sdeddo Construct sdeddo model from Drift and Diffusion objects
sdeld Construct stochastic differential equation from linear drift-rate models
sdemrd Construct stochastic differential equation from mean-reverting drift-rate models
ts2func Convert time series arrays to functions of time and state

Examples and How To

Base SDE Models

Use base SDE models to represent a univariate geometric Brownian Motion model.

Drift and Diffusion Models

Create SDE objects with combinations of customized drift or diffusion functions and objects.

Linear Drift Models

sdeld objects provide a parametric alternative to the mean-reverting drift form.

Parametric Models

Financial Toolbox™ supports several parametric models based on the SDE class hierarchy.

Concepts

SDEs

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

SDE Class Hierarchy

The SDE class structure represents a generalization and specialization hierarchy.

SDE Models

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

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