Files | |
file | batesprocess.hpp |
Bates stochastic process, Heston process plus compound Poisson process plus log-normal jump diffusion size. | |
file | blackscholesprocess.hpp |
Black-Scholes processes. | |
file | endeulerdiscretization.hpp |
Euler end-point discretization for stochastic processes. | |
file | eulerdiscretization.hpp |
Euler discretization for stochastic processes. | |
file | forwardmeasureprocess.hpp |
forward-measure stochastic processes | |
file | g2process.hpp |
G2 stochastic processes. | |
file | geometricbrownianprocess.hpp |
Geometric Brownian-motion process. | |
file | gjrgarchprocess.hpp |
GJR-GARCH(1,1) stochastic process. | |
file | hestonprocess.hpp |
Heston stochastic process. | |
file | hullwhiteprocess.hpp |
Hull-White stochastic processes. | |
file | hybridhestonhullwhiteprocess.hpp |
hybrid equity (heston model) with stochastic interest rates (hull white model) | |
file | jointstochasticprocess.hpp |
multi model process for hybrid products | |
file | merton76process.hpp |
Merton-76 process. | |
file | ornsteinuhlenbeckprocess.hpp |
Ornstein-Uhlenbeck process. | |
file | squarerootprocess.hpp |
square-root process | |
file | stochasticprocessarray.hpp |
Array of correlated 1-D stochastic processes. | |