Heston-ODE

This repo contains the Heston-related code that accompanies the article One-sided maximal uniqueness for a class of spatially irregular ordinary differential equations, a draft of which is included as ODE_uniqueness.pdf.

Installation

To install this package, simply download it. To install dependencies, run pip install -r requirements.txt in this directory, assuming that Python and Pip are already installed.

Usage

The hestonode.py module contains a single HestonODEModel class, which can instantiate and simulate a Heston-ODE volatility model. This is demonstrated in the hestonode.ipynb notebook, and tested in the test_hestonode.py module.

Contact

Feel free to email me at ryan.mccrickerd @ gmail.com :)

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