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fast-reversion-heston

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ryanmccrickerd / frh-fx

A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.

monte-carlo fourier-transform fast-reversion-heston normal-inverse-gaussian levy-process measure-change foreign-exchange

Updated May 24, 2018
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