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  1. NeuralSDE NeuralSDE Public

    A project based on the article "Robust Pricing and Hedging via Neural SDEs", that implements the main ideas developed and reproduces its results.

    Jupyter Notebook 1

  2. LongstaffSchwartz LongstaffSchwartz Public

    A project based on the article "Valuing American Options by Simulation - A Simple Least-Squares Approach". We reproduce the results from the paper.

    Jupyter Notebook 1

  3. MeanFieldGames MeanFieldGames Public

    A short project that aims at solving a Forward/Backward PDE system (of HJB and KFP equations) in the context of Mean Field Games.

    Jupyter Notebook 2

  4. UnderstandingTreeSHAP UnderstandingTreeSHAP Public

    A short tutorial on how the algorithm TreeSHAP works, and what are the maths behind it.

    Jupyter Notebook 2

  5. HMLasso HMLasso Public

    An implementation of the "Lasso with High Missing Rate", that performs well at selecting relevant features in a huge and sparse dataset.

    Jupyter Notebook 3

  6. ARIMA ARIMA Public

    A project of linear time series analysis done in collaboration with Jeanne Gauthier.

    TeX