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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=VG(m,s,kappa,ts,J) 
function X=VG(m,s,kappa,ts,J)

T=length(ts);
dXs=zeros(J,1);
for t=1:T
    dt=ts(1)-0;
    if t>1
        dt=ts(t)-ts(t-1);
    end
    d_tau=kappa*gamrnd(dt/kappa,1,J,1);
    dX=normrnd(m*d_tau,s*sqrt(d_tau));

    dXs=[dXs dX];
end
X=cumsum(dXs,2);

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