Stochastic Differential Equation (SDE) Models
Parametric models, such as Geometric Brownian Motion (GBM) and Heston Volatility
A stochastic differential equation (SDE) is a differential equation where one or more of the terms is a stochastic process, resulting in a solution, which is itself a stochastic process. SDEs are used to model phenomena such as fluctuating stock prices and interest rates. This toolbox provides a collection SDE tools to build and evaluate stochastic models using Monte Carlo and quasi-Monte Carlo simulations. You can develop models to capture detailed information about unlikely or worst-case scenarios or to obtain approximate solutions to problems that are otherwise intractable or time-consuming to analyze with traditional analytical techniques.
Categories
- Specification
Create SDE models - Simulation
Generate standard Monte Carlo and Quasi-Monte Carlo simulations from SDE models