Random Field Simulation by Paul Constantine

Generate multivariate conditional random fields given a mesh and covariance information. (gaussian process, conditional random fi..., kriging)

correlation_fun(corr,mesh1,mesh2,spthresh,matvec,x)

randomfield(corr,mesh,varargin)

Analytical Approximation of American Put option derived by G. BARONE-ADESI and R. E. WHALEY 1987. by Haidar Haidar

This computes an approximation of American Put option value and can plot it against asset's price (blackscholes, option valuation, derivatives)

[P,S,S_SS]=A_Put_Adesi_Whaley(S,E,r,sigma,T)

Black Scholes Formula by Krishna Prasad

Black Scholes Fromula, call or put option price of Dividend and Non Dividend paying stock. (black scholes formula, call or put option pr..., stochastic calculus)

Black_Scholes_Formula_gui(varargin)

Black_Scholes_Formula_simple.m

Rate-Varying Poisson Process Generator by Peter O'Connor

Generates a poisson-process based on a time-varying (or also scalar) rate signal. (poisson, poisson process, stochastic process)

[T tvec]=PechePourPoisson(rate,dt)

Spatial Correlation Generator with Latin Hipercube Sampling and Cholesky Decomposition by Miguel Ignacio Barrios

Stochastic fields Generation. created by LHS. Correlation is based on Cholesky factorization. (latin hypercube sampl..., cholesky, random field)

[fieldiid,hp,sig,k]=generar(m,v,p,q,e,deltax,a)

hurst parameter estimate by Chu Chen

This routine estimate the long-range dependence of a sequence with several methods. (fractals, hurst parameter, covariance)

RS(sequence,isplot)

absval(sequence,isplot,moment)

aggvar(sequence,isplot)