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Specification

Create SDE models

Classes

sdeStochastic Differential Equation (SDE) model
bmBrownian motion models
cevConstant Elasticity of Variance (CEV) models
cirCox-Ingersoll-Ross mean-reverting square root diffusion models
diffusionDiffusion-rate model component
driftDrift-rate model component
gbmGeometric Brownian motion model
hestonHeston model
hwvHull-White/Vasicek Gaussian Diffusion model
sdeddoStochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeldSDE with Linear Drift model
sdemrdSDE with Mean-Reverting Drift model

Functions

sdeConstruct SDE model from user-specified functions
bmConstruct Brownian motion models
cevConstruct Constant Elasticity of Variance (CEV) models
cirConstruct Cox-Ingersoll-Ross mean-reverting square root diffusion models
driftConstruct drift-rate model components
diffusionConstruct diffusion-rate model components
gbmConstruct GBM model
hestonConstruct Heston model
hwvConstruct HWV model
sdeddoConstruct sdeddo model from Drift and Diffusion objects
sdeldConstruct stochastic differential equation from linear drift-rate models
sdemrdConstruct stochastic differential equation from mean-reverting drift-rate models
ts2funcConvert 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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