Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
-
Updated
Sep 29, 2017 - Python
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Code files containing research done around monte carlo stimulations, bayesian interference and stochastic volatility
Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
Monte Carlo option pricing algorithms for vanilla and exotic options
Generate realizations of stochastic processes in python.
Quantitative finance and derivative pricing
Code of numerical experiments in Master's thesis [TBD]
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Add a description, image, and links to the stochastic-volatility-models topic page so that developers can more easily learn about it.
To associate your repository with the stochastic-volatility-models topic, visit your repo's landing page and select "manage topics."