finMath lib documentation

# Package net.finmath.montecarlo.assetderivativevaluation

Monte-Carlo models for asset value processes, like the Black Scholes model.

See: Description

• Interface Summary
Interface Description
AssetModelMonteCarloSimulationInterface
Basic interface which has to be implemented by Monte Carlo models for asset processes.
• Class Summary
Class Description
BachelierModel
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
BlackScholesModel
This class implements a Black Scholes Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
DisplacedLognomalModelExperimental
This class implements a displaced lognormal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
HestonModel
This class implements a Heston Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
InhomogeneousDisplacedLognomalModel
This class implements an inhomogeneous displaced log-normal model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
InhomogenousBachelierModel
This class implements a (variant of the) Bachelier model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
MertonModel
This class implements a Merton Model, that is, it provides the drift and volatility specification and performs the calculation of the numeraire (consistent with the dynamics, i.e. the drift).
MonteCarloAssetModel
This class glues together an AbstractModel and a Monte-Carlo implementation of a AbstractProcess and implements AssetModelMonteCarloSimulationInterface.
MonteCarloBlackScholesModel
This class glues together a BlackScholeModel and a Monte-Carlo implementation of a AbstractProcess and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationInterface.
MonteCarloMertonModel
This class glues together a MertonModel and a Monte-Carlo implementation of a AbstractProcess, namely ProcessEulerScheme, and forms a Monte-Carlo implementation of the Merton model by implementing AssetModelMonteCarloSimulationInterface.
MonteCarloMultiAssetBlackScholesModel
This class glues together a BlackScholeModel and a Monte-Carlo implementation of a AbstractProcess and forms a Monte-Carlo implementation of the Black-Scholes Model by implementing AssetModelMonteCarloSimulationInterface.
• Enum Summary
Enum Description
HestonModel.Scheme
Truncation schemes to be used in the calculation of drift and diffusion coefficients.

## Package net.finmath.montecarlo.assetderivativevaluation Description

Monte-Carlo models for asset value processes, like the Black Scholes model.