An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
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Updated
Jun 7, 2020 - R
An R Package for Monte Carlo Option Pricing Algorithm for Jump Diffusion Models with Correlational Companies
Ornstein-Uhlenbeck models for phylogenetic comparative hypotheses
Comparison of Stochastic Forecasting Methods
Assessing adequacy of phyletic-evolution models
This project has been realised in cooperation with two students : Hugo BESSON and Adrien CORTES. We tried to understand the analogy between the Brownian Motion used in physics, and the geometric Brownian used in financial mathematics. For those who are interested in the field, we provide you with our technical report.
A stokhazesthai (stochastic) process, also called a random process, is one in which outcomes are uncertain (MAT 455, ISU).
Small collection of numerical experiments
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