issaz / sigker-nsdesLinks
Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".
☆21Updated last year
Alternatives and similar repositories for sigker-nsdes
Users that are interested in sigker-nsdes are comparing it to the libraries listed below
Sorting:
- esig python package☆49Updated 10 months ago
- Implementation of 2019 Quant GANs: Deep Generation of Financial Time Series paper☆33Updated last year
- Market simulator☆61Updated 5 years ago
- Signax: Signature computation in JAX☆37Updated 9 months ago
- Implements Path Shadowing Monte Carlo (PSMC).☆81Updated 10 months ago
- ☆28Updated 2 years ago
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆55Updated 4 years ago
- code scripts for Tail-GAN: Learning to Simulate Tail Risk Scenarios☆18Updated 2 weeks ago
- Toolbox for working with streaming data as rough paths in Python☆41Updated this week
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆54Updated 2 years ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆129Updated last year
- Codes for my thesis project: replicating and modifying quant GANs.☆18Updated 4 years ago
- Scattering Spectra used for the analysis and generation of time-series☆40Updated 10 months ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆51Updated 2 weeks ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆16Updated last year
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆130Updated last week
- JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading☆34Updated 2 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 2 months ago
- ☆137Updated last year
- Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2021)☆285Updated last year
- Solving high-dimensional Partial Differential Equations with Deep Learning☆27Updated 6 years ago
- Pipeline for Time Series Generation with Comprehensive Evaluation Metrics☆42Updated 9 months ago
- PyTorch-based framework for Deep Hedging☆324Updated last year
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆83Updated 2 years ago
- This repo is the official implementation for the series of works on (Path-dependent) Neural Jump ODEs.☆21Updated 3 weeks ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- ☆67Updated 4 months ago
- Iterated integral signature calculations☆109Updated 5 months ago
- code for "Optimal Stopping via Randomized Neural Networks"☆60Updated last year