levy-process

There are 3 repositories under levy-process topic.

mschauer/Bridge.jl
A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.
Language:Jupyter Notebook111 10 1719
chicago-joe/Option-Pricing-via-Levy-Models-in-R
using the Inverse-Transform method to speed up options pricing simulations in R
Language:R27 2 011
ryanmccrickerd/frh-fx
A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
Language:Jupyter Notebook9 2 06