Hi all,

I am looking for toolboxes that can handle simulation and solution of
SED with jumps, say levy processes, jump diffusion processes, etc.
Could anybody give me some pointers to really good ones in Maple and
Matlab? I did google search myself and have some findings... however I
would like to know some really good ones and popular ones so I can
discuss with fellow users more conveniently...

Thanks!

Any thoughts?

On Apr 18, 1:47 pm, Luna Moon <lunamoonm...@gmail.com> wrote:
> Hi all,
>
> I am looking for toolboxes that can handle simulation and solution of
> SED with jumps, say levy processes, jump diffusion processes, etc.
> Could anybody give me some pointers to really good ones in Maple and
> Matlab? I did google search myself and have some findings... however I
> would like to know some really good ones and popular ones so I can
> discuss with fellow users more conveniently...
>
> Thanks!

On 18 Apr., 22:47, Luna Moon <lunamoonm...@gmail.com> wrote:

> I am looking for toolboxes that can handle simulation and solution of
> SED with jumps, say levy processes, jump diffusion processes, etc.
> Could anybody give me some pointers to really good ones in Maple and

For Maple, the Financial Modeling Toolbox can handle this; please see
http://www.maplesoft.com/products/toolboxes/financial/

There is also a book on SDEs (I don't have a copy, so can't tell
more):
http://www.maplesoft.com/books/books_detail.aspx?sid=3355

And you should find more material in the Application Center, of
course.

--
Thomas Richard
Maple Support
Scientific Computers GmbH
http://www.scientific.de