s-baumann / stochasticintegrals.jl

This generates covariance matrices and cholesky decompositions for a set of stochastic integrals.

StochasticIntegrals.jl

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This generates covariance matrices and Cholesky decompositions for a set of stochastic integrals. At the moment it only supports Ito integrals. Users specify the UnivariateFunction that is the integrand of the Ito integral and a covariance matrix will be made of all such Ito integrals.

There are a large number of convenience functions. This includes finding the variance and instantaneous volatility of an Ito integral; for extracting the terminal correlation & covariance of a pair of stochastic integrals over a period of time; for generation of random draws from the set of Ito integrals (either pseudorandom or quasirandom). Given a draw of stochastic integrals, it is also possible to find the density of the multivariate normal distribution at this point. See the testing files for code examples.

stochasticintegrals.jl's Issues

Releases

v0.3.0
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