pfhedge.stochastic¶

Stochastic Processes¶

`generate_brownian`	Returns time series following the Brownian motion.
`generate_cir`	Returns time series following Cox-Ingersoll-Ross process.
`generate_geometric_brownian`	Returns time series following the geometric Brownian motion.
`generate_heston`	Returns time series following Heston model.
`generate_local_volatility_process`	Returns time series following the local volatility model.
`generate_vasicek`	Returns time series following Vasicek model.
`generate_merton_jump`	Returns time series following the Merton's Jump Diffusion Model.
`generate_rough_bergomi`	Returns time series following the rough Bergomi (rBergomi) model.

`randn_antithetic`	Returns a tensor filled with random numbers obtained by an antithetic sampling.
`randn_sobol_boxmuller`	Returns a tensor filled with random numbers obtained by a Sobol sequence applied with the Box-Muller transformation.