|Stochastic Differential Equation (SDE) model|
|Bates stochastic volatility model|
|Brownian motion models|
|Geometric Brownian motion model|
|Merton jump diffusion model|
|Drift-rate model component|
|Diffusion-rate model component|
|Stochastic Differential Equation (SDE) model from Drift and Diffusion components|
|SDE with Linear Drift model|
|Constant Elasticity of Variance (CEV) model|
|Cox-Ingersoll-Ross mean-reverting square root diffusion model|
|Hull-White/Vasicek Gaussian Diffusion model|
|SDE with Mean-Reverting Drift model|
Examples and How To
Use base SDE models to represent a univariate geometric Brownian Motion model.
SDE objects with combinations of customized drift or
diffusion functions and objects.
sdeld objects provide a parametric alternative to the
mean-reverting drift form.
Financial Toolbox™ supports several parametric models based on the SDE class hierarchy.
Model dependent financial and economic variables by performing Monte Carlo simulation of stochastic differential equations (SDEs).
The SDE class structure represents a generalization and specialization hierarchy.
Most models and utilities available with Monte Carlo Simulation of SDEs are represented as MATLAB® objects.