stochastic-rs is an open-source Rust library for quantitative finance and stochastic process simulation. It provides 120+ stochastic processes (diffusion, jump, fractional and rough volatility, short-rate, HJM, LMM), option pricing and model calibration (Black-Scholes-Merton, Heston, SABR, rough Bergomi, Lévy, double H...
Dániel Boros· Zenodo (CERN European Organi...· 0 citations
stochastic-rs is an open-source Rust library for quantitative finance and stochastic process simulation. It provides 120+ stochastic processes (diffusion, jump, fractional and rough volatility, short-rate, HJM, LMM), option pricing and model calibration (Black-Scholes-Merton, Heston, SABR, rough Bergomi, Lévy, double H...
Dániel Boros· Zenodo (CERN European Organi...· 0 citations
stochastic-rs is an open-source Rust library for quantitative finance and stochastic process simulation. It provides 120+ stochastic processes (diffusion, jump, fractional and rough volatility, short-rate, HJM, LMM), option pricing and model calibration (Black-Scholes-Merton, Heston, SABR, rough Bergomi, Lévy, double H...
Dániel Boros· Zenodo (CERN European Organi...· 0 citations
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