Stochastic Valuation Processes

Version 1.0.5.1 (2,34 Mo) par Lautaro Parada
Stochastic Valuation models for stocks and bond rates.
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Mise à jour 25 mai 2020
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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.

Citation pour cette source

Lautaro Parada (2025). Stochastic Valuation Processes (https://github.com/LautaroParada/stochastic-processes/releases/tag/1.0.5.1), GitHub. Extrait(e) le .

Compatibilité avec les versions de MATLAB
Créé avec R2020a
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Version Publié le Notes de version
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
Pour consulter ou signaler des problèmes liés à ce module complémentaire GitHub, accédez au dépôt GitHub.
Pour consulter ou signaler des problèmes liés à ce module complémentaire GitHub, accédez au dépôt GitHub.