CompEcon Toolbox for Matlab
CompEcon is a set of MATLAB functions for solving a variety of problems in economics and finance. The library functions include rootfinding and optimization solvers, a integrated set of routines for function approximation using polynomial, splines and other functional families, a set of numerical integration routines for general functions and for common probability distributions, general solvers for Ordinary Differential Equations (both initial and boundary value problems), routines for solving discrete and continuous time dynamic programming problems, and a general solver for financial derivatives (bonds, futures, options).
The CompEcon Toolbox was developed to accompany:
Applied Computational Economics and Finance, Mario J. Miranda & Paul L. Fackler, MIT Press
MATLAB code for all of the examples in the text is supplied with the CompEcon Toolbox.
The CompEcon Toolbox runs only any MATLAB version 5 or higher.
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