image thumbnail

updated 2 years ago

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)

image thumbnail

updated almost 3 years ago

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)

image thumbnail

updated 3 years ago

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

image thumbnail

updated almost 4 years ago

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)

image thumbnail

updated 5 years ago

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. (random field, correlation, simulation)

generar.m

image thumbnail

updated almost 7 years ago

hurst parameter estimate by Chu Chen

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

RS(sequence,isplot)

absval(sequence,isplot,moment)

aggvar(sequence,isplot)

Contact us