frh-fx
FX model
An implementation of the fast-reversion Heston model for foreign exchange purposes
A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.
10 stars
2 watching
12 forks
Language: Jupyter Notebook
last commit: over 6 years ago
Linked from 1 awesome list
fast-reversion-hestonforeign-exchangefourier-transformlevy-processmeasure-changemonte-carlonormal-inverse-gaussian
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