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Showing posts with label
Geometric Brownian Motion
.
Show all posts
Showing posts with label
Geometric Brownian Motion
.
Show all posts
Monday, March 2, 2020
Python: Simulating Exposures Using Multiprocessing Pool
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This post is presenting a scheme for simulating exposures for European call option on a non-dividend-paying stock by using Multiprocessing.P...
Friday, April 26, 2019
Python: Path Generator for Correlated Processes
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One reader was interested to know, how to simulate correlated asset paths by using just Python libraries, without using QuantLib. This blog ...
Sunday, December 2, 2018
QuantLib-Python: Path Generator Method for Uncorrelated and Correlated 1-D Stochastic Processes
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This Python program presents one compact method for simulating paths for the both uncorrelated and correlated stochastic processes. ...
3 comments:
Sunday, November 25, 2018
QuantLib-Python: Simulating Paths for Correlated 1-D Stochastic Processes
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This program, which is just an extension to my previous post , will create two correlated Geometric Brownian Motion processes, then request...
1 comment:
Saturday, November 24, 2018
QuantLib-Python: Simulating Paths for 1-D Stochastic Processes
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This simple Python program will create two 1-dimensional stochastic process objects (Hull-White 1-Factor and Geometric Brownian Motion), the...
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