https://github.com/ryanmccrickerd/frh-fx

A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
https://github.com/ryanmccrickerd/frh-fx

fast-reversion-heston foreign-exchange fourier-transform levy-process measure-change monte-carlo normal-inverse-gaussian

Last synced: about 2 months ago
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A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.

• Host: GitHub
• URL: https://github.com/ryanmccrickerd/frh-fx
• Owner: ryanmccrickerd
• License: mit
• Created: 2018-05-20T14:32:04.000Z (about 6 years ago)
• Default Branch: master
• Last Pushed: 2018-05-24T09:12:31.000Z (about 6 years ago)
• Last Synced: 2024-01-25T06:02:45.283Z (4 months ago)
• Topics: fast-reversion-heston, foreign-exchange, fourier-transform, levy-process, measure-change, monte-carlo, normal-inverse-gaussian
• Language: Jupyter Notebook
• Homepage:
• Size: 2.25 MB
• Stars: 8
• Watchers: 2
• Forks: 6
• Open Issues: 0

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• awesome-quant - frh-fx - A python implementation of the fast-reversion Heston model of Mechkov for FX purposes. (Reproducing Works, Training & Books / Data Visualization)