Stochastic-rs
A Rust library for stochastic processes and models. The main goal to provide a simple and easy to use high performance library for stochastic processes and models. This library is still in development and breaking changes may occur. 🚧
Documentation is available at stochastic-rs.
Implementations
Stochastic processes
- Gaussian noise
- Correlated Gaussian noise
- Brownian motion
- Correlated Brownian motion
- Geometric Brownian motion
- Cox-Ingersoll-Ross process
- Ornstein-Uhlenbeck process
- Jacobi process
Jumps and Levy processes (unstable)
- Poisson process
- Compound Poisson process
- Fractional Ornstein-Uhlenbeck process with jumps
- Levy jump diffusion
- Inverse Gaussian
- Normal Inverse Gaussian
- Variance Gamma
Stochastic models
- Heston model
- Merton model
- Bates model
- Vasicek model
- SABR model (unstable)
- Duffie-Kan model (unstable)
Fractional Stochastic processes
- Fractional Gaussian noise
- Correlated Gaussian noise
- Fractional Brownian motion
- Correlated Fractional Brownian motion
- Fractional Geometric Brownian motion
- Fractional Ornstein-Uhlenbeck process
- Fractional Cox-Ingersoll-Ross process
- Fractional Jacobi process
Features
- Rough Heston model
- Bergomi model
- Rough Bergomi model
- Hull-White model
- Barndorff-Nielsen & Shephard model
- Alpha-stable models
- CGMY model
- CIR model
- Multi-factor CIR model
- BGM model
- Wu-Zhang model
- Affine model
- Heath-Jarrow-Morton model & Multi-factor Heath-Jarrow-Morton model
Future work
- Add more tests
- Add more examples
- Full documentation