piotrek-orlowski/affineModelR: Affine Jump Diffusion Models for R

Implementation of Duffie, Pan and Singleton's (2000) affine jump- diffusion framework for arbitrary number of factors and with elastic model specifications, with focus on equity applications. Evaluation of characteristic (moment generating) function and its derivatives by numerical solution of Riccati ODE system.

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Package details

AuthorPiotrek Or{\l}owski, Andr{\'a}s Sali
MaintainerPiotrek Or{\l}owski <[email protected]>
LicenseGPL (>= 2)
URL https://github.com/piotrek-orlowski/affineModelR
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
piotrek-orlowski/affineModelR documentation built on June 21, 2017, 6:23 a.m.