README.md

DROP Measure

DROP Measure implements R^d Continuous/Discrete Probability Measures.

Component Packages

• Bayesian DROP Measure Bayesian implements Prior, Conditional, Posterior, and Theil Bayesian Distributions.

• Bridge DROP Measure Bridge implements Broken Date Brownian Bridge Interpolator.

• Chi Squared DROP Measure Chi-Square implements Chi-Square Distribution Implementation/Properties.

• Continuous DROP Measure Continuous implements R¹ R^d Continuous Random Measure.

• CRNG DROP Measure Discrete implements Continuous Random Number Stream Generator.

• Discrete DROP Measure Discrete implements Antithetic, Quadratically Re-sampled, De-biased Distribution.

• Dynamics DROP Measure Dynamics implements Jump Diffusion Evolution Evaluator Variants.

• Gaussian DROP Measure Gaussian implements R¹ R^d Covariant Gaussian Quadrature.

• Joint DROP Measure Joint implements R^d Vertex Edge Realization Evolution.

• Lebesgue DROP Measure Lebesgue implements Uniform Piece-wise Lebesgue Measure.

• Process DROP Measure Process implements Jump Diffusion Evolver Process Variants.

• Realization DROP Measure Realization implements Stochastic Jump Diffusion Vertex Edge.

• Statistics DROP Measure Stochastic implements R¹ R^d Thin and Thick Moments.

• Stochastic DROP Measure Stochastic implements R¹ R¹ To R¹ Process.

References

• Abramowitz, M., and I. A. Stegun (2007): Handbook of Mathematics Functions Dover Book on Mathematics

• Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 eSSRN

• Almgren, R. F., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39

• Almgren, R. F. (2009): Optimal Trading in a Dynamic Market https://www.math.nyu.edu/financial_mathematics/content/02_financial/2009-2.pdf

• Almgren, R. F. (2012): Optimal Trading with Stochastic Liquidity and Volatility SIAM Journal of Financial Mathematics 3 (1) 163-181

• Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN

• Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN

• Backstrom, T., and J. Fischer (2018): Fast Randomization for Distributed Low Bit-rate Coding of Speech and Audio IEEE/ACM Transactions on Audio, Speech, and Language Processing 26 (1) 19-30

• Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167 eSSRN

• Chi-Squared Distribution (2019): Chi-Squared Function https://en.wikipedia.org/wiki/Chi-squared_distribution

• Geman, H., D. B. Madan, and M. Yor (2001): Time Changes for Levy Processes Mathematical Finance 11 (1) 79-96

• International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf

• Johnson, N. L., S. Kotz, and N. Balakrishnan (1994): Continuous Univariate Distributions 2^nd Edition John Wiley and Sons

• Jones, C. M., G. Kaul, and M. L. Lipson (1994): Transactions, Volume, and Volatility Review of Financial Studies 7 (4) 631-651

• National Institute of Standards and Technology (2019): Chi-Squared Distribution https://www.itl.nist.gov/div898/handbook/eda/section3/eda3666.htm

• Theil, H. (1971): Principles of Econometrics Wiley

• Walia, N. (2006): Optimal Trading - Dynamic Stock Liquidation Strategies Princeton University

DROP Specifications

• Main => https://lakshmidrip.github.io/DROP/
• Wiki => https://github.com/lakshmiDRIP/DROP/wiki
• GitHub => https://github.com/lakshmiDRIP/DROP
• Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
• Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
• Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
• Release Versions => https://lakshmidrip.github.io/DROP/version.html
• Community Credits => https://lakshmidrip.github.io/DROP/credits.html
• Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues