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  • General Stochastic Process Models
GitHub

General Stochastic Process Models

Process Model Types

DiffFusion.OrnsteinUhlenbeckModel — Type

An Ornstein-Uhlenbeck model with constant mean reversion and piece-wise flat volatility.

source
DiffFusion.ornstein_uhlenbeck_model — Function
ornstein_uhlenbeck_model(
    alias::String,
    chi::ParameterTermstructure,
    sigma_x::BackwardFlatVolatility,
    )

Create an Ornstein-Uhlenbeck model.

source
« Cross Asset Hybrid ModelsCommon Model Functions »

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