Repository for the development of R package rdiffuse
The package rdiffuse provides simulation of multiple fundamental diffusion processes, including a set of Levy and jump diffusion processes. It is created using R's S4 class and methods.
Functions and related numeric methods are referenced from UCL MSc Computational Finance COMP0043 "Numerical Methods" led by Prof. Guido and Tools from Stochastic Analysis for Mathematical Finance (May 23, 2018) by Laura Ballotta and Gianluca Fusai.