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
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