Mephistopheles-0 / DeepBSDE
Python code for solving partial differential equations (PDEs) using deep learning. Specifically, we provide implementations for solving the following PDEs
☆24Updated 5 months ago
Related projects ⓘ
Alternatives and complementary repositories for DeepBSDE
- Source code related to the article "Deep splitting method for parabolic PDEs" by Christian Beck, Sebastian Becker, Patrick Cheridito, Arn…☆14Updated 4 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆44Updated last year
- Python implementation of fractional brownian motion☆53Updated 4 years ago
- Quantum Computing for Finance☆12Updated 8 months ago
- ☆22Updated 9 months ago
- ☆12Updated 2 years ago
- Regression Monte Carlo for Optimal Stopping☆9Updated last year
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 4 years ago
- Python codes for Introduction to Computational Stochastic PDE☆37Updated 2 months ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 4 years ago
- Python solver for the Brownian, Stochastic, or Noisy Differential Equations☆14Updated 6 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆32Updated 2 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- ☆15Updated 4 years ago
- ☆18Updated 6 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 6 months ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 3 years ago
- Summer 2020 reading group on uncertainty quantification☆22Updated 4 years ago
- ☆39Updated 5 years ago
- Price options analytically given stock price characteristic function☆15Updated 9 years ago
- Solving high-dimensional Partial Differential Equations with Deep Learning☆24Updated 5 years ago
- Deep BSDE solver in Pytorch☆12Updated last week
- ☆19Updated 3 weeks ago
- Matlab codes accompanying Numerical Methods for Stochastic Partial Differential Equations with White Noise☆22Updated 7 years ago
- This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply …☆22Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated last year
- Winter 2020 Course description: Econometric and statistical techniques commonly used in quantitative finance. Use of estimation applicat…☆37Updated 3 years ago
- This paper aims to explore the time series’ proprieties of the features extracted by using the Principal Component Analysis (PCA) techniq…☆15Updated 4 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆15Updated 4 years ago
- Companion code for "Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning" by A. Al-Aradi, A. Correia, …☆112Updated 5 years ago