jkirkby3 / pymle
Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
☆48Updated 2 months ago
Alternatives and similar repositories for pymle:
Users that are interested in pymle are comparing it to the libraries listed below
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆13Updated 6 months ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆44Updated 2 years ago
- Monte Carlo Submission Examples☆16Updated 6 months ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆34Updated 3 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆16Updated 4 years ago
- ☆19Updated 6 years ago
- ☆63Updated last month
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆26Updated last year
- Python implementation of fractional brownian motion☆59Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆49Updated 2 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Compile risk with cvxpy☆13Updated this week
- C++ implementation of rBergomi model☆24Updated 6 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆54Updated 2 years ago
- Implementation of "A deep solver for BSDEs with jumps"☆13Updated 4 months ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆20Updated 10 months ago
- Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation …☆27Updated 2 years ago
- ☆16Updated 4 years ago
- esig python package☆48Updated 3 months ago
- Python code for solving partial differential equations (PDEs) using deep learning. Specifically, we provide implementations for solving t…☆27Updated 9 months ago
- This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations …☆12Updated 6 years ago
- Code to accompany the paper "VolGAN: a generative model for arbitrage-free implied volatility surfaces"☆64Updated 3 weeks ago
- ☆24Updated last year
- Code for the paper Volatility is (mostly) path-dependent☆59Updated last year
- Fractional Brownian Motion package☆12Updated 2 years ago
- Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimens…☆22Updated 4 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆59Updated last year
- Using DeepBSDE solver to price/hedge options & optimize portfolios under Black-Scholes, Heston and multiscale models.☆12Updated 5 years ago