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Highlights from
Review of Discrete and Continuous Processes in Finance

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from Review of Discrete and Continuous Processes in Finance by Attilio Meucci
discrete-time and continuous-time processes for finance, theory and empirical examples

X=IG(l,m,J) 
function X=IG(l,m,J)

N=randn(J,1);
Y=N.^2;
X = m + (.5*m*m/l)*Y - (.5*m/l)*sqrt(4*m*l*Y+m*m*(Y.^2));
U=rand(J,1);

I=find(U>m./(X+m));
X(I)=m*m./X(I);

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