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.
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.
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.
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.
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.
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.
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.
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.
MultiAssetBlackScholesModel	This class implements a multi-asset Black Scholes model providing an AbstractProcessModel.
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.

Enum Summary

Enum	Description
HestonModel.Scheme	Truncation schemes to be used in the calculation of drift and diffusion coefficients.