Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
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Updated
May 25, 2024 - Python
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Generate realizations of stochastic processes in python.
Monte Carlo option pricing algorithms for vanilla and exotic options
Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Quantitative finance and derivative pricing
Code of numerical experiments in Master's thesis [TBD]
Code files containing research done around monte carlo stimulations, bayesian interference and stochastic volatility
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