Re: Poisson process

Posted by Dimathematician on Jul 19, 2010; 12:12pm
URL: http://quantlib.414.s1.nabble.com/Poisson-process-tp418p422.html


Hi,

there is the merton76process, which is a diffusion + poisson jumps.


james hirschorn schrieb:

> Looking at the documentation, it appears that QuantLib only implements
> stochastic processes based on Brownian motion, i.e. Ito processes.
>
> Is this correct? There is no Poisson process for example?
>
> Thanks,
> J
>
>
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