mschauer / Bridge.jl Star 111 Code Issues Pull requests A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge. julia bayesian-inference sde mcmc stochastic-differential-equations diffusion ornstein-uhlenbeck brownian-motion levy-process vasicek diffusion-processes simulating-diffusion-bridges gamma-process Updated Jan 27, 2022 Jupyter Notebook
chicago-joe / Option-Pricing-via-Levy-Models-in-R Star 27 Code Issues Pull requests using the Inverse-Transform method to speed up options pricing simulations in R r monte-carlo-simulation r-language option-pricing algorithmic-trading monte-carlo-simulations mathematical-modelling mathematical-finance r-programming computational-finance financial-engineering european-options levy-processes options-trading levy-process levy-models Updated Sep 17, 2019 R
ryanmccrickerd / frh-fx Star 9 Code Issues Pull requests A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes. monte-carlo fourier-transform fast-reversion-heston normal-inverse-gaussian levy-process measure-change foreign-exchange Updated May 24, 2018 Jupyter Notebook