Stochastic Valuation Processes

Versión 1.0.5.1 (2,34 MB) por Lautaro Parada
Stochastic Valuation models for stocks and bond rates.
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Actualizado 25 may 2020
Ver licencia en GitHub

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.

Citar como

Lautaro Parada (2024). Stochastic Valuation Processes (https://github.com/LautaroParada/stochastic-processes/releases/tag/1.0.5.1), GitHub. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2020a
Compatible con cualquier versión
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Versión Publicado Notas de la versión
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
Para consultar o notificar algún problema sobre este complemento de GitHub, visite el repositorio de GitHub.
Para consultar o notificar algún problema sobre este complemento de GitHub, visite el repositorio de GitHub.