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arXiv · 2411.06484

ajdmom: A Python Package for Deriving Moment Formulas of Affine Jump Diffusion Processes

Yan-Feng Wu·Jian-Qiang Hu
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Abstract

We introduce ajdmom, a Python package designed for automatically deriving moment formulae for the well-established affine jump diffusion processes with state-independent jump intensities. ajdmom can produce explicit closed-form expressions for conditional and unconditional moments of any order, significantly enhancing the usability of these models. Additionally, ajdmom can compute partial derivatives of these moments with respect to the model parameters, offering a valuable tool for sensitivity analysis. The package's modular architecture makes it easy for adaptation and extension by researchers. ajdmom is open-source and readily available for installation from GitHub or the Python package index (PyPI).

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BibTeXRIS

Yan-Feng Wu, Jian-Qiang Hu. 2024-11-10. ajdmom: A Python Package for Deriving Moment Formulas of Affine Jump Diffusion Processes. https://arxiv.org/abs/2411.06484

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