Derivatives Pricing
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Updated
Feb 12, 2023 - Python
Derivatives Pricing
Taylor moment expansion in Python (JaX and SymPy) and Matlab
This repository contains the code for the R Shiny tool "Interest Rate Simulation", an interactive tool for gaining intuition for one-factor equilibrium models.
Schramm-Loewner Evolution Library
Optimization of Stochastic Differential Equation Solver for Particle Data Set Generation using Fast Point Cloud Diffusion (FPCD) model.
My unofficial implementation of Grad-TTS (ICML 2021)
PSM - Population Stochastic Modelling
The numerical calculation method for stochastic differential equation by Gillespie
Codes for numerically solving stochastic inflationary dynamics in slow-roll and beyond.
Fit Time-Series Data to Neural Differential Equations in Julia
A Julia package for the computation of hard, theoretically guaranteed bounds on the moments of jump-diffusion processes with polynomial data
★Math researches and algorithms★
Computes the boundary crossing probability for a general diffusion process and time-dependent boundary.
Code of numerical experiments in Master's thesis [TBD]
Langevin equation for organelle transport with and w/o molecular motors.
Small collection of numerical experiments
We modeled groundwater particles trajectories as a random-motion and computed their probability of polluting a well. We compared different Montecarlo techniques with a deterministic approach based on PDEs
Supplementary code for "Persistence as an optimal hedging strategy"
1st semester project at Bioinformatics institute, Fall 2020
IESPN workshop "Scientific programming with Julia" 2022
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