Stochastic Valuation Processes

버전 1.0.5.1 (2.34 MB) 작성자: Lautaro Parada
Stochastic Valuation models for stocks and bond rates.
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다운로드 수: 275
업데이트 날짜: 2020/5/25
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This is a collection of Stochastic Valuation methods for Monte-Carlo simulations of stock prices and bond interest rates. These simulations help to backtest on synthetic data trading strategies, asset allocation methods, option pricing, volatility estimators,etc.

Currently, the implemented methods are:

- Stock prices: Brownian Motion, Geometric Brownian motion, Merton model, Heston model.
- Bond Rates: Vasicek interest rate model, Cox Ingersoll Ross model
- Utilities: Quote inflow order (volume generation, according to the price series), Information driven bars (see Advances in Financial Machine Learning for details).

In the Getting started guide, you will find complete documentation of the toolbox.

인용 양식

Lautaro Parada (2025). Stochastic Valuation Processes (https://github.com/LautaroParada/stochastic-processes/releases/tag/1.0.5.1), GitHub. 검색 날짜: .

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버전 게시됨 릴리스 정보
1.0.5.1

See release notes for this release on GitHub: https://github.com/LautaroParada/stochastic-processes/releases/tag/1.0.5.1
1.0.5

See release notes for this release on GitHub: https://github.com/LautaroParada/stochastic-processes/releases/tag/1.0.5
1.0.4

See release notes for this release on GitHub: https://github.com/LautaroParada/stochastic-processes/releases/tag/1.0.4
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