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
1 maintainer
Release files for ito-diffusions 1.4.1
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Source distribution (sdist)
| File | Size | Uploaded | |
|---|---|---|---|
| ito_diffusions-1.4.1.tar.gz | 32.8 kB | Details |
Built distribution (wheel)
| File | Interpreter | ABI | Platform | Reset |
|---|---|---|---|---|
| ito_diffusions-1.4.1-py3-none-any.whl | Python 3 | none | any | Details |
Total release size: 70.6 kB
Release files / ito_diffusions-1.4.1.tar.gz
| Download URL | ito_diffusions-1.4.1.tar.gz |
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| Size | 32.8 kB |
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Release files / ito_diffusions-1.4.1-py3-none-any.whl
| Download URL | ito_diffusions-1.4.1-py3-none-any.whl |
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| Size | 37.8 kB |
| Tags | Python 3 |
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