MAPLE and MATLAB for Stochastic Differential Equations in Finance

This chapter describes the use of MAPLE and MATLAB for symbolic and floating point computations in stochastic calculus and stochastic differential equations (SDEs), with emphasis on models arising in finance. The MAPLE software package stochastic is introduced and it is shown how to solve certain SDEs, perform various operations in stochastic calculus and construct numerical methods in the MAPLE environment. MATLAB routines for simulating SDEs numerically are described and the importance of optimizing the code by vectorization is illustrated. The MAPLE and MATLAB routines described here can be downloaded from the www.