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vasicek

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hjstobart / matlab-stochastic-processes

A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.

matlab stochastic-processes ornstein-uhlenbeck geometric-brownian-motion vasicek cox-ingersoll-ross arithmetic-brownian-motion brownian-bridge feller-square-root-process variance-gamma-process merton-jump-diffusion kou-jump-diffusion

Updated May 23, 2022
MATLAB

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