levy-process

There are 0 repository under levy-process topic.

mschauer / Bridge.jl
A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.
diffusion julia stochastic-differential-equations mcmc bayesian-inference sde brownian-motion diffusion-processes simulating-diffusion-bridges gamma-process ornstein-uhlenbeck vasicek levy-process
Language:Jupyter Notebook 110
chicago-joe / Option-Pricing-via-Levy-Models-in-R
using the Inverse-Transform method to speed up options pricing simulations in R
r option-pricing options-trading algorithmic-trading computational-finance levy-models levy-processes levy-process monte-carlo-simulation monte-carlo-simulations european-options r-programming r-language mathematical-modelling mathematical-finance financial-engineering
Language:R 27
ryanmccrickerd / frh-fx
A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
fast-reversion-heston normal-inverse-gaussian fourier-transform monte-carlo levy-process measure-change foreign-exchange
Language:Jupyter Notebook 8