1FSV Model¶
In this subpackage (ajdmom.mdl_1fsv), we consider the
SV model in Theory, i.e.,
\[\begin{split}ds(t) &= \mu s(t)dt + \sqrt{v(t)}s(t)dw^s(t),\\
dv(t) &= k(\theta - v(t))dt + \sigma_v\sqrt{v(t)}dw^v(t),\end{split}\]
which is also the baseline SV model of the package.
The derivation of its moments has been explained in Program Design page.
API¶
Central Moments for One-Factor SV |
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Moments for One-Factor SV |
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Covariance for One-Factor SV |
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Module for generating a trajectory of samples from Heston SV model by Euler approximation |
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Conditional Central Moment |