Gamma Process
%Assign parameters
nsteps=250; expiry=1; dt=expiry/nsteps;
alphaG=5; lambdaG=10; nsimul=10
%1. Simulate increments of the Gamma process:
dG=gamrnd(dt*alphaG,1/lambdaG,[nsteps,nsimul]);
%2. Simulate Gamma process (use cumulative sum of the increments):
cdG=[zeros(1,nsimul); cumsum(dG)];
%3. Make a plot
h=figure('Color',[1 1 1])
plot([0:nsteps]*dt,cdG)
print(h,'-dpng','Fig_gammaprocess')