Index

A

analyze_results() (jump_diffusion.validation.ValidationExperiment method)

B

BaseEstimator (class in jump_diffusion.estimation)

BaseSimulator (class in jump_diffusion.simulation) BaseStochasticModel (class in jump_diffusion.models)

C

characteristic_scale() (jump_diffusion.distributions.JumpDistribution method) (jump_diffusion.distributions.KouJump method)

compare() (jump_diffusion.validation.JumpDistributionComparison method)

D

default_params() (jump_diffusion.distributions.JumpDistribution method) (jump_diffusion.distributions.KouJump method) (jump_diffusion.distributions.NormalJump method) (jump_diffusion.distributions.SGEDJump method) (jump_diffusion.distributions.SkewNormalJump method) (jump_diffusion.distributions.StudentTJump method)

diagnostics() (jump_diffusion.estimation.JumpDiffusionEstimator method) diffusion_convolved_pdf() (jump_diffusion.distributions.JumpDistribution method) (jump_diffusion.distributions.KouJump method) (jump_diffusion.distributions.NormalJump method) (jump_diffusion.distributions.SkewNormalJump method)

E

estimate() (jump_diffusion.estimation.BaseEstimator method) (jump_diffusion.estimation.JumpDiffusionEstimator method)

estimate_bootstrap_standard_errors() (jump_diffusion.estimation.JumpDiffusionEstimator method) estimate_standard_errors() (jump_diffusion.estimation.JumpDiffusionEstimator method) estimate_wald_standard_errors() (jump_diffusion.estimation.JumpDiffusionEstimator method)

F

fft_convolved_pdf() (jump_diffusion.distributions.JumpDistribution method)

fit() (jump_diffusion.validation.JumpDistributionComparison method)

G

get_parameter_bounds() (jump_diffusion.models.BaseStochasticModel method) (jump_diffusion.models.JumpDiffusionModel method)

get_parameters() (jump_diffusion.models.BaseStochasticModel method) get_results() (jump_diffusion.estimation.BaseEstimator method)

I

initial_guess() (jump_diffusion.distributions.JumpDistribution method) (jump_diffusion.distributions.KouJump method) (jump_diffusion.distributions.NormalJump method) (jump_diffusion.distributions.SGEDJump method) (jump_diffusion.distributions.SkewNormalJump method) (jump_diffusion.distributions.StudentTJump method)

J

jump_diffusion.distributions module jump_diffusion.estimation module jump_diffusion.models module jump_diffusion.simulation module

jump_diffusion.validation module JumpDiffusionEstimator (class in jump_diffusion.estimation) JumpDiffusionModel (class in jump_diffusion.models) JumpDiffusionSimulator (class in jump_diffusion.simulation) JumpDistribution (class in jump_diffusion.distributions) JumpDistributionComparison (class in jump_diffusion.validation)

K

KouJump (class in jump_diffusion.distributions)

L

log_likelihood() (jump_diffusion.estimation.BaseEstimator method) (jump_diffusion.estimation.JumpDiffusionEstimator method) (jump_diffusion.models.BaseStochasticModel method) (jump_diffusion.models.JumpDiffusionModel method)

M

module jump_diffusion.distributions jump_diffusion.estimation jump_diffusion.models jump_diffusion.simulation jump_diffusion.validation

N

NormalJump (class in jump_diffusion.distributions)

P

param_bounds() (jump_diffusion.distributions.JumpDistribution method) (jump_diffusion.distributions.KouJump method) (jump_diffusion.distributions.NormalJump method) (jump_diffusion.distributions.SGEDJump method) (jump_diffusion.distributions.SkewNormalJump method) (jump_diffusion.distributions.StudentTJump method) param_names (jump_diffusion.distributions.JumpDistribution attribute) (jump_diffusion.distributions.KouJump attribute) (jump_diffusion.distributions.NormalJump attribute) (jump_diffusion.distributions.SGEDJump attribute) (jump_diffusion.distributions.SkewNormalJump attribute) (jump_diffusion.distributions.StudentTJump attribute) (jump_diffusion.estimation.JumpDiffusionEstimator property)

pdf() (jump_diffusion.distributions.JumpDistribution method) (jump_diffusion.distributions.KouJump method) (jump_diffusion.distributions.NormalJump method) (jump_diffusion.distributions.SGEDJump method) (jump_diffusion.distributions.SkewNormalJump method) (jump_diffusion.distributions.StudentTJump method) plot_comparison() (jump_diffusion.validation.JumpDistributionComparison method) plot_profiles() (jump_diffusion.estimation.JumpDiffusionEstimator method) plot_results() (jump_diffusion.validation.ValidationExperiment method) plot_simulation() (jump_diffusion.simulation.BaseSimulator method) (jump_diffusion.simulation.JumpDiffusionSimulator method)

R

run_experiment() (jump_diffusion.validation.ValidationExperiment method) rvs() (jump_diffusion.distributions.JumpDistribution method) (jump_diffusion.distributions.KouJump method) (jump_diffusion.distributions.NormalJump method) (jump_diffusion.distributions.SkewNormalJump method) (jump_diffusion.distributions.StudentTJump method)

S

SGEDJump (class in jump_diffusion.distributions) simulate() (jump_diffusion.models.BaseStochasticModel method) (jump_diffusion.models.JumpDiffusionModel method) simulate_path() (jump_diffusion.simulation.BaseSimulator method) (jump_diffusion.simulation.JumpDiffusionSimulator method)

SkewNormalJump (class in jump_diffusion.distributions) StudentTJump (class in jump_diffusion.distributions) summary() (jump_diffusion.estimation.JumpDiffusionEstimator method)

T

test_for_jumps() (jump_diffusion.estimation.JumpDiffusionEstimator method)

U

update_parameters() (jump_diffusion.models.BaseStochasticModel method)

V

ValidationExperiment (class in jump_diffusion.validation)