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merton-jump-diffusion

Here are 3 public repositories matching this topic...

rsadykhov / stochastic-models

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

monte-carlo-simulations monte-carlo-methods geometric-brownian-motion arithmetic-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

Updated Jun 4, 2022
Python

hjstobart / matlab-stochastic-processes

A collection of numerical implementations for the simulation of well-known stochastic processes on MATLAB.

matlab stochastic-processes ornstein-uhlenbeck geometric-brownian-motion vasicek cox-ingersoll-ross arithmetic-brownian-motion brownian-bridge feller-square-root-process variance-gamma-process merton-jump-diffusion kou-jump-diffusion

Updated May 23, 2022
MATLAB

kirillzx / JDFlow

🧑🏻‍💻 Multivariate Time Series Modelling with Neural SDE driven by Jump Diffusion

time-series generative-model normalizing-flows multivariate-timeseries merton-jump-diffusion neural-stochastic-differential-equations

Updated Apr 15, 2024
Jupyter Notebook

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