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, 525--546.
    • 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 233--270, 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, 661--677. (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
  • Black--Scholes for scientific computing students, by D. J. Higham. Computing in Science and Engineering (Education Section), 6, 2004, 72--79. Earlier version was University of Strathclyde Mathematics Research Report~01 (2004) .
    MATLAB files from
  • LMS Short Course on Computational Differential Equations, Manchester, Sept 12-16, 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.