| ddkou | PDF of displaced double-exponential jumps |
| ddtfm | Probability density function of fitted model |
| dgbm | #' Probability density function for Black-Scholes... |
| dgcpp | Cumulative distribution function for geometric compensated... |
| dgmm | Probability density function for Gaussian mixtures |
| dgmm1 | Probability density function for Gaussian mixtures |
| dhit_gbm | The PDF of the hitting time of for a GBM to reach a price... |
| dhit_merton | The hitting time PDF of a Merton jump-diffusion |
| dkou | PDF of double-exponential jumps |
| dmerton | The probability density function under Merton's... |
| dmerton1 | The probability density function under Merton's... |
| dmvtnorm | Multivariate normal probability density function |
| dstable | Wrapper to libstable4u |
| ema | Exponentially moving average |
| eta | The exponent used in the method of images for hitting time... |
| ewmc | Exponentially moving covariance |
| extract_mixture | Convenience to extract parameters |
| fitDTFM | Fit returns distribution to daily-arithmetic returns |
| fit_ema_gbm | Fit GBM model where parameters are estimated using EMAs |
| fitGBM | Fit a geometric Brownian motion to a daily log-returns... |
| fitGBMs | Fit correlated geometric Brownian motions to a matrix of... |
| fitHeston | fit Heston parameters using particle filter and QMLE |
| fitMixtureDiffusion | Fit log-normal mixture diffusion to daily-time series of... |
| fitSymmetricMerton | Fit the symmetric Merton jump diffusion model to log-return... |
| hestonLogLikelihood | Quasi log-likelihood function for Heston model |
| hestonMLE | Quasi MLE for Heston dynamics |
| hestonParticleFilter | Particle filter for filtering volatility in the Heston model |
| hitmode_gbm | The mode of the hitting time to a price level for a GBM |
| likelihood_ratio | Likelihood ratio hypothesis test |
| logLikeGBM | Log-likelihood function for GBM with time-dependent... |
| logLikeMerton | Log-likelihood for Merton jump diffusion log-increments |
| mixture_drift | The drift coefficient function for a log-normal mixture... |
| mixture_vol | The diffusion coefficient function for a log-normal mixture... |
| mseGBM | Mean square error between empirical PDF and time-dependent... |
| mseMerton | MSE between empirical and model PDF under Merton's... |
| obs_mean | Conditional mean and volatility functions of state and... |
| obs_vol | Conditional mean and volatility functions of state and... |
| pdkou | CDF of displaced double-exponential jumps |
| pgbm | Cumulative distribution function for Black-Scholes... |
| pgcpp | Cumulative distribution function for geometric compensated... |
| pgmm | Cumulative distribution function for Gaussian mixtures |
| pgmm1 | Cumulative distribution function for Gaussian mixtures |
| phit_gbm | The CDF of the hitting time of for a GBM to reach a price... |
| phit_merton | The hitting time CDF of a Merton jump-diffusion |
| pkou | CDF of double-exponential jumps |
| pmerton | The cumulative distribution function under Merton's... |
| pstable | Wrapper to libstable4u |
| qstable | Wrapper to libstable4u |
| rcornorm | Generate a vector of two correlated standard Gaussian RVs |
| rdkou | Simulate displaced double-exponential jumps |
| rgbm | Generate variates under Black-Scholes distribution |
| rgcpp | Simulate variates under geometric compensated Poisson... |
| rgmm | Sampling algorithm for Gaussian mixtures |
| rkou | Simulate double-exponential jumps |
| rmerton | Simulate the terminal RV of a log-Merton jump diffusion |
| rstable | Wrapper to libstable4u |
| stableVAR | Value at Risk for stable distribution |
| state_mean | Conditional mean and volatility functions of state and... |
| state_vol | Conditional mean and volatility functions of state and... |
| survival_merton | The survival probability of a boundary by a given time under... |
| testMertonSimDensity | Verify the empirical density of Merton simulated variates |
| trans_den_merton | The transition density used and reflect in the method of... |
| update_ema | Efficient EMA updates |
| update_ewmc | Efficient EMA updates |
