batuhanguler / Deep-BSDE-SolverLinks
Solving high-dimensional Partial Differential Equations with Deep Learning
☆27Updated 6 years ago
Alternatives and similar repositories for Deep-BSDE-Solver
Users that are interested in Deep-BSDE-Solver are comparing it to the libraries listed below
Sorting:
- Forward-Backward Stochastic Neural Networks: Deep Learning of High-dimensional Partial Differential Equations☆156Updated 5 years ago
- Deep BSDE solver in TensorFlow☆284Updated 5 months ago
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- Solving High Dimensional Partial Differential Equations with Deep Neural Networks☆34Updated 3 years ago
- Unbiased Deep Learning based Solvers for parametric PDEs☆11Updated 3 years ago
- Deep multistep methods to solve BSDEs of first and second order for the approximation of PDE solutions☆19Updated 5 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 2 months ago
- Companion code for "Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning" by A. Al-Aradi, A. Correia, …☆122Updated 6 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆21Updated 4 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- Python codes for Introduction to Computational Stochastic PDE☆45Updated 7 months ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 4 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆15Updated 10 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆16Updated last year
- ☆27Updated 2 years ago
- ☆16Updated 3 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆53Updated 2 years ago
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆54Updated 4 years ago
- Deep Optimal Stopping Project☆15Updated 6 years ago
- This repository contains a number of Jupyter Notebooks illustrating different approaches to solve partial differential equations by means…☆178Updated 4 years ago
- code for "Optimal Stopping via Randomized Neural Networks"☆59Updated last year
- ☆10Updated 4 years ago
- code for "Neural Jump Ordinary Differential Equations"☆30Updated 2 years ago
- Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization☆36Updated last year
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆21Updated last year
- Scattering Spectra used for the analysis and generation of time-series☆40Updated 9 months ago
- Survey of neural network methods for derivatives pricing and risks☆14Updated 3 years ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆51Updated last month
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆11Updated 8 years ago