Classes implementing stochastic processes. More...

Classes
class	julian::ArithmeticBrownianMotion
	Class is implements arithmetic Brownian motion. More...

class	julian::CirProcess
	Class is implements Cox–Ingersoll–Ross (CIR) process. More...

class	julian::GeometricBrownianMotion
	Class is implements geometric Brownian motion. More...

class	julian::HestonProcess
	Class is implements Heston process. More...

class	julian::Path
	Path is a series of real numbers indexed with time. In general, it is identical with a series of time. More...

class	julian::StochasticProcess
	Class is an abstract type expressing the concept of stochastic process. More...

Detailed Description

Classes implementing stochastic processes.

Module covers:

definition of stochastic processes (like Arithmetic/Geometric Brownian motion etc.);
utility classes (like path).

Good introduction to the topic of stochastic processes is [43] and [35].