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10 search results found

Torchsde ⭐ 1,357

Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

Stochastic ⭐ 317

Generate realizations of stochastic processes in python.

Proj_option_pricing_matlab ⭐ 115

Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader

Pmh Tutorial ⭐ 15

Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"

Drop Fixed Income ⭐ 14

DRIP Fixed Income is a collection of Java libraries for Instrument/Trading Conventions, Treasury Futures/Options, Funding/Forward/Overnight Curves, Multi-Curve Construction/Valuation, Collateral Valuation and XVA Metric Generation, Calibration and Hedge Attributions, Statistical Curve Construction, Bond RV Metrics, Stochastic Evolution and Option Pricing, Interest Rate Dynamics and Option Pricing, LMM Extensions/Calibrations/Greeks, Algorithmic Differentiation, and Asset Backed Models and Analyt

Numerical experiments with stochastic differential equations in Haskell

Option pricing function for the Heston model based on the implementation by Christian Kahl, Peter Jäckel and Roger Lord. Includes Black-Scholes-Merton option pricing and implied volatility estimation. No Financial Toolbox required.

Stochastic Volatility Models ⭐ 8

R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"

Mcmc Estimation Of Stochastic Differential Equations Papers ⭐ 8

A list (quite disorganized for now) of papers tackling the Bayesian estimation of Ito processes (and their discrete time version)

Gpo Smc Abc ⭐ 7

Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods

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