jkirkby3 / pymleLinks
Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
☆51Updated 4 months ago
Alternatives and similar repositories for pymle
Users that are interested in pymle are comparing it to the libraries listed below
Sorting:
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 8 months ago
- Implementation of "A deep solver for BSDEs with jumps"☆14Updated 6 months ago
- esig python package☆48Updated 5 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆51Updated 2 years ago
- ☆19Updated 6 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- ☆65Updated 2 weeks ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 4 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Python implementation of fractional brownian motion☆61Updated 4 years ago
- Deep Optimal Stopping Project☆15Updated 5 years ago
- Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.☆10Updated 7 years ago
- Monte Carlo Submission Examples☆16Updated 8 months ago
- Neural network local volatility with dupire formula☆76Updated 3 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
- C++ implementation of rBergomi model☆24Updated 6 years ago
- Fractional Brownian Motion package☆11Updated 2 years ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Python code for solving partial differential equations (PDEs) using deep learning. Specifically, we provide implementations for solving t…☆27Updated 11 months ago
- Compile risk with cvxpy☆13Updated this week
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.☆36Updated 6 years ago
- Code for the paper "Outlier-robust Kalman Filtering through Generalised Bayes" presented at ICML 2024☆68Updated 11 months ago
- This notebook presents an example of implementation of my paper Carbonneau, A. (2020). Deep Hedging of Long-Term Financial Derivatives.☆28Updated 4 years ago
- Unbiased SABR model simulation in the manner of Bin Chen, Cornelis W. Oosterlee and Hans van der Weide☆7Updated 6 years ago
- Implements Path Shadowing Monte Carlo (PSMC).☆72Updated 5 months ago
- Robust pricing and hedging via Neural SDEs☆36Updated 3 years ago