Documentation

Simulation

Generate Monte Carlo simulations from SDE models

Classes

sde Stochastic Differential Equation (SDE) model
bm Brownian motion models
cev Constant Elasticity of Variance (CEV) models
cir Cox-Ingersoll-Ross mean-reverting square root diffusion models
diffusion Diffusion-rate model component
drift Drift-rate model component
gbm Geometric Brownian motion model
heston Heston model
hwv Hull-White/Vasicek Gaussian Diffusion model
sdeddo Stochastic Differential Equation (SDE) model from Drift and Diffusion components
sdeld SDE with Linear Drift model
sdemrd SDE with Mean-Reverting Drift model

Functions

simulate Simulate multivariate stochastic differential equations (SDEs)
simByEuler Euler simulation of stochastic differential equations (SDEs)
simBySolution Simulate approximate solution of diagonal-drift GBM processes
simBySolution Simulate approximate solution of diagonal-drift HWV processes
interpolate Brownian interpolation of stochastic differential equations
Was this topic helpful?