Sampling

Monte Carlo sampling of stochastic processes compared against their analytical distributions.

Gaussian (Vasicek)

Sample the Gaussian OU (Vasicek) process for different mean reversion speeds and number of paths.

Poisson

Evaluate the Monte Carlo simulation for the Poisson process against the analytical PDF.

Double Exponential

Sample the Asymmetric Laplace (double exponential) distribution with mean 0 and variance 1, parameterised by the asymmetry parameter κ.