Uses of Package
net.finmath.fouriermethod.models
Packages that use net.finmath.fouriermethod.models
Package
Description
Classes related to the calibration of fourier models.
Provides characteristic functions of stochastic processes (models).
Provides characteristic functions of payoffs / values (products) and their numerical integration against a given model (valuation).
Products which are provide a "smile function" \( K \mapsto V(K) \) mapping a product strike to
the corresponding product value.
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Classes in net.finmath.fouriermethod.models used by net.finmath.fouriermethod.calibration.modelsClassDescriptionInterface which has to be implemented by models providing the characteristic functions of stochastic processes.Implements the characteristic function of a Heston model.Implements the characteristic function of a Merton jump diffusion model.
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Classes in net.finmath.fouriermethod.models used by net.finmath.fouriermethod.modelsClassDescriptionInterface which has to be implemented by models providing the characteristic functions of stochastic processes.
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Classes in net.finmath.fouriermethod.models used by net.finmath.fouriermethod.productsClassDescriptionInterface which has to be implemented by models providing the characteristic functions of stochastic processes.
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Classes in net.finmath.fouriermethod.models used by net.finmath.fouriermethod.products.smileClassDescriptionInterface which has to be implemented by models providing the characteristic functions of stochastic processes.