Teaching Resources and MATLAB codes

Matlab Codes

Credit Portfolio Codes
These MATLAB codes simulate default in a credit portfolio using a Monte Carlo method. The results are referenced in the paper Fok, Yan and Yao ''Analysis of Credit Portfolio Risk using Hierarchical Multi-Factor Models,'' Journal of Credit Risk 10 (4) pp 1 -- 26 (2014)

Multirate Runge-Kutta Code
These MATLAB codes implement a Fourth order multirate Cash-Karp Runge-Kutta method, as discussed in ''A Linearly Fourth Order Multirate Runge-Kutta Method with Error Control,'' Journal of Scientific Computing (2015)

Teaching Resources

Slides from BioQuest 2014 (Modeling Phage in a Predator-Prey System)
Dow Jones daily prices from 01/22/2013 to 04/18/2013
MATH260 Bratzler LDL distribution Code
SIR MATLAB Code