This is Aksel Fristrup's implementation of various numerical aspects of stochastic finance in Rust.
- Markov chain Monte Carlo
- Statistical tests for stochastic processes
- (Semi-)efficient implementation of discretization of processes
- Regime switching models (Lévy and Markov)
- Hybrid machine learning-classical stochastic models
- Extreme value statistics and QRM
- Rough paths and signatures
- "Hedging with transaction costs" paper implementation
- Langchain support