michaelgordy/basicAffineProcess: Basic Affine Processes
Version 0.1.4

Laplace transforms, simulations, and other routines for working with one-dimensional basic affine processes (BAP) and two important special cases: the Cox-Ingersoll-Ross (CIR) process and the mean-reverting compound Poisson process.

Getting started

Package details

AuthorMichael Gordy
MaintainerMichael Gordy <[email protected]>
LicenseGPL-3
Version0.1.4
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("michaelgordy/basicAffineProcess")
michaelgordy/basicAffineProcess documentation built on Nov. 22, 2017, 7:27 p.m.