# ryanmccrickerd/frh-fx

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13 stars · 14 forks · Jupyter Notebook · MIT

## Links

- GitHub: https://github.com/ryanmccrickerd/frh-fx
- awesome-repositories: https://awesome-repositories.com/repository/ryanmccrickerd-frh-fx.md

## Topics

`fast-reversion-heston` `foreign-exchange` `fourier-transform` `levy-process` `measure-change` `monte-carlo` `normal-inverse-gaussian`

## Description

A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.

## Tags

### Part of an Awesome List

- [Educational Resources](https://awesome-repositories.com/f/awesome-lists/learning/educational-resources.md) — Implementation of fast-reversion Heston models for FX.