Module net.finmath.lib

Package net.finmath.fouriermethod.models

package net.finmath.fouriermethod.models

Provides characteristic functions of stochastic processes (models).

Author:

Christian Fries

Related Packages

Package	Description
net.finmath.fouriermethod	Provides algorithms related to derivative valuation via a models characteristic functions and Fourier transforms of a products payoffs.
net.finmath.fouriermethod.calibration	Classes related to the calibration of Fourier models.
net.finmath.fouriermethod.products	Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).

Class	Description
BatesModel	Implements the characteristic function of a Bates model.
BlackScholesModel	Implements the characteristic function of a Black Scholes model.
CharacteristicFunctionModel	Interface which has to be implemented by models providing the characteristic functions of stochastic processes.
HestonModel	Implements the characteristic function of a Heston model.
MertonModel	Implements the characteristic function of a Merton jump diffusion model.
VarianceGammaModel	Implements the characteristic function of a Variance Gamma model.