processes Directory Reference

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.