Metadata-Version: 2.1
Name: ito-diffusions
Version: 1.4.0
Summary: Library for stochastic process simulation
Home-page: https://github.com/sauxpa/ito_diffusions
Author: Patrick Saux
Author-email: patrick.jr.saux@gmail.com
Requires-Python: >=3.6
Description-Content-Type: text/markdown
License-File: LICENSE.txt

### 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

<img src="./brownian_sheaf.png"
     style="float: left; margin-right: 10px;" />

<img src="./nagarch.png"
     style="float: left; margin-right: 10px;" />

<img src="./saw_square.png"
     style="float: left; margin-right: 10px;" />

<img src="./sle_peaks.png"
     style="float: left; margin-right: 10px;" />
