financialkit.stochastic_volatility
==================================


.. include:: /_generated/nav/stochastic_volatility.rst

Local volatility: Cox's constant elasticity of variance with Schroder's
noncentral chi-square prices, Dupire's local volatility from a price
surface, and its simulation through
:func:`financialkit.integrators.euler_maruyama`. Stochastic volatility:
the Hull-White series and mixing Monte Carlo, and the Heston model with
its two-probability formula. Jumps: Merton's jump diffusion (series
formula), variance gamma (Madan-Seneta, Madan-Carr-Chang), Kou's
double-exponential jumps and Bates. Fourier pricing for every
characteristic-function model: Carr-Madan's FFT, Lewis's single
integral and the COS method. Smiles: Hagan's SABR formula and
calibration, Gatheral's SVI with Durrleman's condition, and Lee's moment
formula. Simulation: full-truncation, partial-truncation and Higham-Mao
Euler schemes and Andersen's quadratic-exponential scheme for Heston.

.. automodule:: financialkit.stochastic_volatility
   :members:
   :undoc-members: