Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.models

Equity models implementing ProcessModel e.g. by extending AbstractProcessModel.
Author:
Christian Fries
  • Class Summary 
    Class Description
    BachelierModel
    This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
    BlackScholesModel
    This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
    BlackScholesModelWithCurves
    This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
    DisplacedLognomalModel
    This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
    HestonModel
    This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
    InhomogeneousDisplacedLognomalModel
    This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
    InhomogenousBachelierModel
    This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
    MertonModel
    This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
    VarianceGammaModel
    This class implements a Variance Gamma Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
  • Enum Summary 
    Enum Description
    HestonModel.Scheme
    Truncation schemes to be used in the calculation of drift and diffusion coefficients.