wilmott.com

Now I am working on Geometric Ornstein Uhlenbeck: ds=s[a(c-ln s)dt+bdW(t)].And I want to use Kolmogorov forward equation to describe the evolution over time of the probability density function : partial P/ partial t=(1/2) {partial^2[(b*s)^2 P)]/(partial s^2)}-{partial[(a(c-ln s)s P]/partial s}.But I could't figure out how to solve the PDE in Matlab. So if someone is more familiar with Matlab, Pls give me some advices on how to solve the problem.Thank you for help!<a target=new class=ftalternatingbarlinklarge href="mailto:amoyparsa@yahoo.com.cn">Contact me directly.</a>

Do it by hand -- It's no big deal.

For what I know about Matlab is only how to solve Poisson ,hyperbolic and parabolic equations. But the equation I want to solve could not belong to one of these three types. There is where the difficult lies.

http://www-math.bgsu.edu/~zirbel/sde/

Thank you ,doofusmaximus. You do me a big favor. It is very helpful.

Hi there,to all matlab users, i've started learning VBA a few months ago in order to be able to program excel into performing macros and loops, but i once heard that if we are thinking of programing from the perspective of excel and finance, then it is easier to learn matlab, and it perfroms everything that vba does.what do you guys think??thx vmuch

I just started learning MatLab, as I think MatLab will be more useful for difficult numerical problems. The beauty of learning VBA first is it leverages off your existing knowledge of Excel's functionality, leaving you to concentrate on building your understanding of programming. Furthermore, for most problems in finance there are simple illustrations worked out in Excel available for your reference.

thx dc for replying,interesting interpretation, so do u think i should forget about vba and start learning matlab, or i need both, or may be VBA is enough?? what do u think?thx

I think you should continue with VBA, as it is quite useful in finance as a basic programming skill. I only started with MatLab when I found myself with very specific tasks for MatLab. I think you'll find that most of the skilled programmers in this forum use C/C++ for computational tasks.

Hi,Actually i will follow your advise cause i am enjoying VBA right now, and i think you can do quite a lot of things with it, and may be if i find myself infront lacking something, i will consider matlab or may be C++ as you have proposed.Thx again for help,