Module net.finmath.lib

Package net.finmath.timeseries.models.parametric

Classes related to estimation of time series.

Author:

Christian Fries

Class Summary

Class	Description
ARMAGARCH	Lognormal process with ARMAGARCH(1,1) volatility.
DisplacedLognormal	Displaced log-normal process with constanst volatility.
DisplacedLognormalARMAGARCH	Displaced log-normal process with ARMAGARCH(1,1) volatility.
DisplacedLognormalGARCH	Displaced log-normal process with GARCH(1,1) volatility.
DisplacedLognormalGJRGARCH	Displaced log-normal process with GJR-GARCH(1,1) volatility.
GARCH	Log-normal process with GARCH(1,1) volatility.
SimpleHistroricalSimulation	Implementation of standard historical simulation.