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updated 4 years ago

Example of Volatility Pumping by Edward Grace

This script demonstrates the phenomenon of excess growth in a constant rebalancing portfolio. (finance, shannons demon, crp)

ejg_volatility_pumping.m

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updated 4 years ago

GAFFE A toolbox for solving evolutionary nonlinear PDEs by Edward Grace

This toolbox implements the well known split-step Fourier technique for solving nonlinear PDEs. (pde, fft, nonlinear)

B=fftnpad(A,varargin)

DefaultDiffraction(dz,KX,X,u,U)

DefaultDiffractionFibich(dz,KX,X,u,U)

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