{"repo":"rust-dd/stochastic-rs","free":true,"listed":false,"github":"https://github.com/rust-dd/stochastic-rs","clone":"git clone https://github.com/rust-dd/stochastic-rs.git","description":"High-performance quantitative finance in Rust — 120+ stochastic processes, option pricing, calibration, fixed income, risk & copulas, with SIMD/GPU acceleration and Python bindings.","language":"Rust","stars":178,"topics":["ai","finance","quant","quantitative-finance","rust","simulation","statistics","stochastic","stochastic-processes","malliavin-calculus"],"license":"MIT","category":"trading","readme_excerpt":"stochastic-rs Quantitative finance in Rust — a high-performance library for stochastic process simulation, option pricing, model calibration, volatility surfaces, fixed income, risk, statistics, copulas, and neural-network volatility surrogates. Generic over f32 / f64 , with SIMD acceleration on CPU and CUDA / Metal / Accelerate / cubecl backends where they pay off, and first-class Python bindings via PyO3. Documentation 📖 stochastic.rust-dd.com — full docs site (Fumadocs + Next.js, deployed on Vercel). Highlights: - 120+ stochastic processes — diffusion, jump, fractional / rough, short-rate, HJM, LMM, fBM, Hawkes, Lévy. Generic-precision ProcessExt impl, SIMD on CPU, optional CUDA / Metal for FGN / fBM. - Pricing & calibration — closed-form (BSM, Bachelier, Black76, Bjerksund-Stensland, …), Fourier (Heston / Bates / Merton-jump / Kou / VG / CGMY / HKDE / double-Heston), Monte Carlo (basket, rainbow, cliquet, autocallable, spread), finite difference, Bermudan LSM, Heston SLV. Heston / SABR / SVJ / Lévy / rough Bergomi / double-Heston / Hull-White swaption-grid calibrators. - Statistics & risk — Hurst (Fukasawa), MLE for 1-D diffusions with 6 transition densities, ADF / KPSS / Phillips-Perron, realised variance with BNHLS bandwidth, HMM, changepoint, particle filter, UKF. VaR / CVaR / drawdown, Sharpe / Sortino / IR / Calmar. - Fixed income & credit — yield-curve bootstrapping, Nelson-Siegel / Svensson, multi-curve, IRS / inflation swaps, Vasicek / CIR / Hull-White / G2++ sho","default_branch":null,"files":null,"tree":[],"storefront":"/r/rust-dd","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/rust-dd/stochastic-rs/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}