Module net.finmath.lib

Package net.finmath.montecarlo.assetderivativevaluation.models

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.