Package org.drip.measure.joint

Class Edge

java.lang.Object
org.drip.measure.joint.Edge
public class Edge
extends java.lang.Object
Edge implements the Deterministic and the Stochastic Components of a Joint R1 Random Increment. The References are:

  • Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf
  • Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility SIAM Journal of Financial Mathematics 3 (1) 163-181
  • Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes Mathematical Finance 11 (1) 79-96
  • Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility Review of Financial Studies 7 (4) 631-651


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    Edge​(JumpDiffusionEdge[] aMLR)
    Edge Constructor

  • Method Summary

    Modifier and Type Method Description
    JumpDiffusionEdge[] marginal()
    Retrieve the Array of the Marginal Level Realizations

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • Edge

      public Edge​(JumpDiffusionEdge[] aMLR) throws java.lang.Exception
      Edge Constructor
      Parameters:
      aMLR - Array of the Marginal Level Realizations
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • marginal

      public JumpDiffusionEdge[] marginal()
      Retrieve the Array of the Marginal Level Realizations
      Returns:
      The Array of the Marginal Level Realizations