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rsadykhov / stochastic-models

Python code of commonly used stochastic models for Monte-Carlo simulations

Repository from Github https://github.comrsadykhov/stochastic-modelsRepository from Github https://github.comrsadykhov/stochastic-models

arithmetic-brownian-motiongeometric-brownian-motionbrownian-bridgefeller-square-root-processornstein-uhlenbeck-processconstant-elasticity-of-varianceheston-stochastic-volatilityvariance-gamma-processmerton-jump-diffusionkou-jump-diffusionmonte-carlo-methodsmonte-carlo-simulations

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Python code of commonly used stochastic models for Monte-Carlo simulations

arithmetic-brownian-motiongeometric-brownian-motionbrownian-bridgefeller-square-root-processornstein-uhlenbeck-processconstant-elasticity-of-varianceheston-stochastic-volatilityvariance-gamma-processmerton-jump-diffusionkou-jump-diffusionmonte-carlo-methodsmonte-carlo-simulations

License:MIT License

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Language:Python 100.0%