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ryanmccrickerd/frh-fx

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

Stack
Jupyter Notebook
GitHub topics
#fast-reversion-heston #foreign-exchange #fourier-transform #levy-process #measure-change #monte-carlo
Updated
2018-05-24
Lists
1 list mention
First commit
2018-05-20
History
1 history point
License
MIT
Issues
0 open
Sign in to like ryanmccrickerd/frh-fx
13
stars
Forks
14
Commits
15 commits
Star growth, last 7 days
0 0.0%
Commit velocity, last 7 days
0 0.0%
Website GitHub