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

• Rust
• Typescript

Stochastic processes

• 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
• 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