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
Project details
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.
Source Distribution
ito_diffusions-1.0.3.tar.gz
(1.2 kB
view hashes)
Built Distribution
Close
Hashes for ito_diffusions-1.0.3-py3-none-any.whl
Algorithm | Hash digest | |
---|---|---|
SHA256 | acf623715cc186dcf5d4190f14fa11c6c5bfc858cb48e4b793732096e9d437c0 |
|
MD5 | 6101c07abb1152f6659da989c61da308 |
|
BLAKE2b-256 | 1f7fed27d576070e5adeafcf47c18c055f36b0c85574ffc4bedcae89e1b9c160 |