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