affineModelR-package: Affine Jump Diffusion Models for R

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

Affine Jump Diffusion Models for R

Description

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.

Details

The DESCRIPTION file: This package was not yet installed at build time.
Index: This package was not yet installed at build time.
~~ An overview of how to use the package, including the most important functions ~~

Author(s)

Piotrek Or\lowski, Andr\'as Sali

Maintainer: Piotrek Or\lowski <[e-mail]>

References

~~ Literature or other references for background information ~~

See Also

~~ Optional links to other man pages, e.g. ~~ ~~ <pkg> ~~

piotrek-orlowski/affineModelR documentation built on July 11, 2022, 3:25 p.m.