RE: Merton76Process

Posted by cuchulainn on
URL: http://quantlib.414.s1.nabble.com/Merton76Process-tp3338p3340.html

Neil,

Are you doing any work on Heston sto. vol. and PIDE (not 100,000 miles (km)) away from current topic?

 

Cheers

 

Daniel

 

---

From: [hidden email] on behalf of Neil P Firth
Sent: Mon 13/09/2004 18:11
To: Penschke, Walter
Cc: [hidden email]
Subject: Re: [Quantlib-users] Merton76Process

Hello,

Lots of interesting financial models, such as variance gamma and normal
inverse gamma, are pure jump models, so any redesign should take them into
consideration. Bringing in a LevyProcess class, with drift, diffusion and
jump methods might tidy things up. However, that is quite a large
change and might cause more problems than it solves.

Neil

---------------------------------------------------
  Neil Firth
  Brasenose College Oxford OX1 4AJ United Kingdom
  Office: 01865 280616
  [hidden email]
  http://www.maths.ox.ac.uk/~firth
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