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Michael Rockinger's Projects

cir-heston-simulation icon cir-heston-simulation

In this folder we group all the Matlab and R codes discussed in the paper "Simulating the CIR and Heston Processes: Matching the First Four Moments, by Ostap Okhrin, Michael Rockinger and Manuel Schmid, March 2021.

highermoments icon highermoments

Contains R, Matlab, and Mathematica code of all moments of CIR and Bate's model

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