stochastic

betting

Small simulations on how to optimally bet in a biased environment.

bivariate_copula

Code for simulating joint distribution based on a copula and empirical marginals.

concentration_bounds

Numerical examples of various concentration bounds (Hoeffding, Bernstein...)

ou_fitting

Fit a Ornstein-Uhlenbeck process (potentially with Laplace jumps) on historical data using the generalized methods of moments on the characteristic functon.

ito_diffusions_examples

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/

Self-Avoiding Walks (SAW)

Schramm-Loewner Evolution (SLE)