Appraoch

Introduction----------------This code simulates commodity spot prices using the Clewlow and Strickland one factor daily spot model using a Monte Carlo approach. The derived stochastic differential equations (SDEs) are solved using several finite difference schemes.The paper detailing the... Platforms: Matlab

Complex step differentiation (CSD) is a superior numerical differentiation approach. Normally, it is more efficient and accurate than finite difference appraoch. This package provides a way to improve the MATLAB fmincon function using the CSD. Platforms: Matlab

Complex step differentiation (CSD) is a superior numerical differentiation approach. Normally, it is more efficient and accurate than finite difference appraoch. This package provides a way to improve the MATLAB lsqnonlin function using the CSD. Platforms: Matlab