R-universe search: topic:stochastic-processes

Showing 3 of total 3 results (show query)

kingaa

pomp:Statistical Inference for Partially Observed Markov Processes

Tools for data analysis with partially observed Markov process (POMP) models (also known as stochastic dynamical systems, hidden Markov models, and nonlinear, non-Gaussian, state-space models). The package provides facilities for implementing POMP models, simulating them, and fitting them to time series data by a variety of frequentist and Bayesian methods. It is also a versatile platform for implementation of inference methods for general POMP models.

Maintained by Aaron A. King. Last updated 11 days ago.

abc b-spline differential-equations dynamical-systems iterated-filtering likelihood likelihood-free markov-chain-monte-carlo markov-model mathematical-modelling measurement-error particle-filter sequential-monte-carlo simulation-based-inference sobol-sequence state-space statistical-inference stochastic-processes time-series openblas

114 stars 11.74 score 1.3k scripts 4 dependents

jirotubuyaki

Jdmbs:Monte Carlo Option Pricing Algorithms for Jump Diffusion Models with Correlational Companies

Option is a one of the financial derivatives and its pricing is an important problem in practice. The process of stock prices are represented as Geometric Brownian motion [Black (1973) <doi:10.1086/260062>] or jump diffusion processes [Kou (2002) <doi:10.1287/mnsc.48.8.1086.166>]. In this package, algorithms and visualizations are implemented by Monte Carlo method in order to calculate European option price for three equations by Geometric Brownian motion and jump diffusion processes and furthermore a model that presents jumps among companies affect each other.

Maintained by Masashi Okada. Last updated 5 years ago.

black-scholes brownian-motion computational-finance derivatives finance financial-analysis financial-engineering jump-diffusion monte-carlo option option-pricing sde stochastic-differential-equations stochastic-processes stock-market

27 stars 5.13 score 6 scripts

techtonique

esgtoolkit:Toolkit for Monte Carlo Simulations

A toolkit for Monte Carlo Simulations in Finance, Economics, Insurance, Physics. Multiple simulation models can be created by combining building blocks provided in the package.

Maintained by T. Moudiki. Last updated 2 months ago.

diffusion-model diffusion-models monte-carlo-methods monte-carlo-simulation montecarlo-simulation scenario-analysis scenario-creator scenario-generation simulation stochastic-differential-equations stochastic-processes stochastic-simulation cpp

11 stars 3.97 score 28 scripts