merton-jump-diffusion

There are 0 repository under merton-jump-diffusion topic.

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
Language:Python 24
hjstobart / matlab-stochastic-processes
A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.
matlab stochastic-processes arithmetic-brownian-motion brownian-bridge geometric-brownian-motion ornstein-uhlenbeck cox-ingersoll-ross feller-square-root-process merton-jump-diffusion vasicek kou-jump-diffusion variance-gamma-process
Language:MATLAB 5
kirillzx / JDFlow
🧑🏻‍💻 Multivariate Time Series Modelling with Neural SDE driven by Jump Diffusion
generative-model merton-jump-diffusion multivariate-timeseries normalizing-flows time-series neural-stochastic-differential-equations
Language:Jupyter Notebook 0