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Specification

Create SDE models

Objects

sdeStochastic Differential Equation (SDE) model
bmBrownian motion models
gbmGeometric Brownian motion model
driftDrift-rate model component
diffusionDiffusion-rate model component
sdeddoStochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeldSDE with Linear Drift model
cevConstant Elasticity of Variance (CEV) model
cirCox-Ingersoll-Ross mean-reverting square root diffusion model
hestonHeston model
hwvHull-White/Vasicek Gaussian Diffusion model
sdemrdSDE with Mean-Reverting Drift model

Examples and How To

Base SDE Models

Use base SDE models to represent a univariate geometric Brownian Motion model.

Drift and Diffusion Models

Create SDE objects with combinations of customized drift or diffusion functions and objects.

Linear Drift Models

sdeld objects provide a parametric alternative to the mean-reverting drift form.

Parametric Models

Financial Toolbox™ supports several parametric models based on the SDE class hierarchy.

Concepts

SDEs

Model dependent financial and economic variables by performing Monte Carlo simulation of stochastic differential equations (SDEs).

SDE Class Hierarchy

The SDE class structure represents a generalization and specialization hierarchy.

SDE Models

Most models and utilities available with Monte Carlo Simulation of SDEs are represented as MATLAB® objects.