rsadykhov / stochastic-models

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

arithmetic-brownian-motion geometric-brownian-motion brownian-bridge feller-square-root-process ornstein-uhlenbeck-process constant-elasticity-of-variance heston-stochastic-volatility variance-gamma-process merton-jump-diffusion kou-jump-diffusion monte-carlo-methods monte-carlo-simulations

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

arithmetic-brownian-motion geometric-brownian-motion brownian-bridge feller-square-root-process ornstein-uhlenbeck-process constant-elasticity-of-variance heston-stochastic-volatility variance-gamma-process merton-jump-diffusion kou-jump-diffusion monte-carlo-methods monte-carlo-simulations

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