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levy-process

Here are 3 public repositories matching this topic...

mschauer / Bridge.jl

A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.

julia bayesian-inference sde mcmc stochastic-differential-equations diffusion ornstein-uhlenbeck brownian-motion levy-process vasicek diffusion-processes simulating-diffusion-bridges gamma-process

Updated Jan 27, 2022
Jupyter Notebook

chicago-joe / Option-Pricing-via-Levy-Models-in-R

using the Inverse-Transform method to speed up options pricing simulations in R

r monte-carlo-simulation r-language option-pricing algorithmic-trading monte-carlo-simulations mathematical-modelling mathematical-finance r-programming computational-finance financial-engineering european-options levy-processes options-trading levy-process levy-models

Updated Sep 17, 2019
R

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
Jupyter Notebook

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