amin


Total Posts: 288 
Joined: Aug 2005 


Download Matlab Program for Solution to Density of Stochastic Differential Equations/FokkerPlanck Equation using Transition Probabilities on a Fixed Grid.
Here I have posted a matlab program that calculates the density of stochastic differential equations using transition probabilities. We also introduce forward ItoExpectation process that calculates the forward expectations of functions of SDE variable using transition probabilities on the same grid. I give an example of calculation of density of a functional of the SDE variable in the form of a dtintegral given as \int_0^t X(s)^omega ds We can calculate this dtintegral for quadratic variations associated with a mean reverting volatility process. In the next version, You could do swap like analytics and calculate density of processes like variance swaps and arithmeric asians by specifying forward payoffs since I will explain how to take forward variance that is associated with forward payoffs. Please check post 839 here: https://lnkd.in/d6sxvgb https://lnkd.in/d6sxvgb 


