MATLAB files from the article:
An Algorithmic Introduction to Numerical Simulation
of Stochastic Differential equations,
by D. J. Higham,
SIAM Review, Education Section, Vol 43, 2001, 525546.

chain.m
(Typo on line 13 has been corrected: ``Xzero2 = 1/sqrt(Xzero)'' becomes
``Xzero2 = sqrt(Xzero)'')

em.m
(Typo on line 11 has been corrected: ``dt =1/N'' becomes ``dt = T/N'')

emweak.m
(Typo in comment line has been corrected, mu = 1 becomes mu = 0.1.)

milstrong.m
(Typo on line 12 has been corrected: ``rand('state',100)'' becomes
``randn('state',100)''. Also
typo in comment on line 33 has been corrected: ``erorrs'' becomes ``errors'')
Also note an error in the text. On page 539, line 13,
``whose jth entry'' should be ``whose ith entry''.
Thanks to Joseph P. Skudlarek for spotting these errors.
Joseph has also created a set of Octave programs that mirror those above,
see
MATLAB files from the report:
MAPLE and MATLAB for Stochastic Differential Equations in
Finance,
by D. J. Higham and P. E. Kloeden,
in Programming Languages and Systems in Computational
Economics and Finance, Editor: Soren S. Neilsen,
Kluwer, pages 233270, 2002.
MATLAB files from the article
Nine Ways to Implement the Binomial Method for
Option Valuation in MATLAB,
by D. J. Higham,
SIAM Review, Education Section, Vol 44, 2002, 661677.
(Note that this manuscript and the accompanying files supersede
the original technical report:
Nine Ways to Implement the Binomial Method for Option Valuation in MATLAB,
by D. J. Higham, University of Strathclyde Mathematics Research Report 17 (2001), July 2001.)
MATLAB files from the article
BlackScholes for scientific computing students,
by D. J. Higham.
Computing in Science and Engineering (Education Section),
6, 2004, 7279.
Earlier version was
University of Strathclyde
Mathematics Research Report~01 (2004)
.
MATLAB files from
LMS Short Course on Computational Differential Equations,
Manchester,
Sept 1216, 2005,
MATLAB files from
the technical report
Modelling and Simulating Chemical Reactions,
which is to appear in slightly revised from in SIAM Review Education section.
See the book
Matlab Guide
for more info about MATLAB.