StochasticIntegrals.jl

This generates covariance matrices and cholesky decompositions for a set of stochastic integrals.
Author s-baumann
Popularity
1 Star
Updated Last
1 Year Ago
Started In
October 2018

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.

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