Module net.finmath.lib

Package net.finmath.fouriermethod.models

Provides characteristic functions of stochastic processes (models).
Author:
Christian Fries
  • Interface Summary 
    Interface Description
    CharacteristicFunctionModel
    Interface which has to be implemented by models providing the characteristic functions of stochastic processes.
  • Class Summary 
    Class Description
    BatesModel
    Implements the characteristic function of a Bates model.
    BlackScholesModel
    Implements the characteristic function of a Black Scholes model.
    HestonModel
    Implements the characteristic function of a Heston model.
    MertonModel
    Implements the characteristic function of a Merton jump diffusion model.
    VarianceGammaModel
    Implements the characteristic function of a Variance Gamma model.