jarrow_rs

This is Aksel Fristrup's implementation of various numerical aspects of stochastic finance in Rust.

Goals:

• 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

Future dependencies

• https://github.com/rust-random/rand
• https://github.com/apache/arrow-rs