GitHub topics: affine-jump-diffusion
xmlongan/ajdmom
Closed-Form Derivation of Moments for Affine Jump Diffusions with State-Independent Jump Intensities
Language: Python - Size: 2.56 MB - Last synced at: 4 days ago - Pushed at: 4 days ago - Stars: 7 - Forks: 1
xmlongan/ajd.sim.bk
Simulation of Affine Jump Diffusions Using Broadie-Kaya Method
Language: R - Size: 96.7 KB - Last synced at: 12 days ago - Pushed at: 2 months ago - Stars: 0 - Forks: 0
xmlongan/ajd.sim.kbf
Simulation of Affine Jump Diffusions Using Kyriakou-Brignone-Fusai Method
Language: R - Size: 36.1 KB - Last synced at: 12 days ago - Pushed at: 2 months ago - Stars: 0 - Forks: 0