Library for stochastic process simulation
Project description
ito_diffusions
Libraries for stochastic processes simulation and visualization including:
- Ito diffusion : Brownian motion, Geometric Brownian motion, Vasicek, CIR...
- Jump processes : Ito diffusion driven by a Levy process i.e with a jump component with a given intensity and jump size distribution;
- Multidimensional processes, stochastic volatility diffusions (SABR...);
- Fractional Brownian motion, Karhunen-Loeve expansion, fractional diffusions;
- Times series models (AR, MA, ARMA, ARCH, GARCH, NAGARCH...);
- Self-Avoiding Walks (SAW), Schramm-Loewner Evolution (SLE).
To install : pip install ito-diffusions https://pypi.org/project/ito-diffusions/
To test : python -m pytest
For numerous examples : https://github.com/sauxpa/stochastic
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