Building Blocks API

ajdmom.poly

Class Poly, a customized dictionary, derived from UserDict

ajdmom.ito_mom

Itô process moments under Single Square-Root Diffusion Process

ajdmom.itos_mom

Itô process moments under Superposition of Two Square-Root Diffusion Processes

ajdmom.ito_cond2_mom

Itô process conditional moments under Square-Root Jump Diffusion (SRJD), with condition on the initial state and the realized jumps over the interval.

ajdmom.cpp_mom

Moments of a Compound Poisson Process variable

ajdmom.utils

Utilities for combination and normal distribution