Demonstrates how to price derivatives in a Heston framework, using successive approximations of the invariant distribution of a Markov ergodic diffusion with decreasing time discretization steps. The framework is that of G. Pagès & F. Panloup.

In the second semester of 2021 - 2022, I took the course "Stochastic Process", which included programming exercises and projects in MATLAB language in the above files and you can see.

Demonstration that a bit frame is configured in an Ergodic Process. The following development is related to the determination of the ensemble averages of a PCM signal. In an analytical way, the mean and autocorrelation of the signal modulated by coded pulses will be calculated, indicating if this process is Stationary in the Broad Sense; this is…

CharVariety is a complementary library to this paper: "Stationary measures and orbit closures of uniformly expanding random dynamical systems on surfaces" by Ping Ngai (Brian) Chung

A 5-State Markov Chain Weather Model whose transition probabilites are inferred from pre-existing daily weather data (https://www.kaggle.com/datasets/ananthr1/weather-prediction).