Online Simulation of Brownian motion in 2d, 3d. Stock Simulation with EWMA, GARCH(1,1). One factor equilibrium interest rate model simulations, estimation and residual testing using Euler's appr. Monte Carlo option pricing with stochastic interest rates.
Oops! I meant 'square root of dt' :)
A low-quality novice submission. The authors dont bother to use spell-check: do you think they were careful about debugging? The very first submission, OneDBrownian, incorrectly scales Gaussian increments - they should be multiplied by dt, not dt/T, no? So does the CIR simulator; incidentally, the authors implement an Euler discretization, rather than an exact algorithm, but I feel that they wouldnt know the difference. CIR estimation routine is an fminsearch call - does one need Optimization Toolbox? - with the log-likelihood written out as an inline function. The m-files are scripts requiring keyboard input. Chunks of code are inefficiently repeated across multiple files. pricing.m loads a dataset called eurobank; I have FD toolbox, but the dataset is not there.
jacobian matrix of power system program
Had a problem with the Vasicek-Estimation routine, needs a Newton-Raphson solver called R. this is not included in the .zip.
Great files merging financial stochastic theory with numerical simulation.
I am not familiar with .rar compression files. Would it be possible to post a .zip version of the file?
Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.