Module markov 

Structs

CorrOuDiffusion

Correlated Ornstein-Uhlenbeck diffusion via Cholesky factor. apply: L * dW where L = chol(Sigma)

HestonDiffusion

Diffusion term for the Heston model (log-price, variance). State: [log S, V]. Noise: [dW1, dW2] (independent).

NdSDE

NdSDE: N-dimensional SDE with vector state and vector noise.

SDE

Traits

Drift

Functions

bm

Standard Brownian motion: dX = dW

cir

Cox-Ingersoll-Ross: dX = kappa*(theta - X) dt + sigma*sqrt(X) dW

corr_ou

N-dimensional correlated Ornstein-Uhlenbeck process. dX = theta*(mu - X) dt + L dW where L = chol(Sigma)

gbm

Geometric Brownian motion: dX = muX dt + sigmaX dW

heston

Heston stochastic volatility model. State: [log S, V]; use exp(paths[.., .., 0]) to recover S.

ou

Ornstein-Uhlenbeck: dX = theta*(mu - X) dt + sigma dW