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.