v.0.0.18

What's Changed

• Create LICENSE by @dancixx in #1
• Fix Merton model generation
• Add Bates model support
• Add Kou model support (experimental)

New Contributors

• @dancixx made their first contribution in #1

Full Changelog: v.0.0.17...v.0.0.18

v.0.0.17

Full Changelog: v.0.0.15...v.0.0.17

Add some jump diffusions process and models. (Levy, Merton, Bates but these modules are in beta, be careful)
A package has been extended to a more general mathematics library but focuses on stochastic analysis.

v.0.0.15

Full Changelog: v.0.0.14...v.0.0.15

DFT method bug fix.

v.0.0.14

Full Changelog: v.0.0.13...v.0.0.14

NEWS

• Stats module (mean1D-2D, median1D-2D)
• Complex numbers methods
• Discrete Fast Fourier

v.0.0.13

Full Changelog: v.0.0.12...v.0.0.13

NEWS:

• modules export refactored.
• Jacobi process added.
• correlated wieners generated with Jacobi process as correlation process.
• add some linalg and math modules

FUTURE PLANS
Update documentation.

v.0.0.12

Full Changelog: v.0.0.10...v.0.0.12

• Add support for fractional processes
• Add support for poisson and compound poisson

** Minor bug and typo fixes.

v.0.0.10

Full Changelog: v.0.0.9...v.0.0.10
Support for fractional processes. (based on Cholesky decomp)

• fractional Wiener process
• fractional Ornstein-Uhlenbeck process.

Future plan is to implement a more efficient generator method that is based on the Fast Fourier algorithm.

v.0.0.9

New processes:

• CIR
• Brownian bridge

v.0.0.8

BREAKING CHANGE

The normal distribution generator class has been dropped and create a new method for it.

v.0.0.7

Added Heston model, OU process and correlated Wieners.