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jkirkby3
PROJ_Option_Pricing_Matlab jkirkby3
63
160
mit
5
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
sabr options derivatives monte-carlo asian-option heston-model black-scholes quant-finance variance-swap barrier-option jump-diffusion levy-processes option-pricing bermudan-option lookback-option american-options european-options fourier-transform quantitative-finance stochastic-volatility-models
Created 2017-11-17
135 commits to master branch, last one about a year ago
SciML
JumpProcesses.jl SciML
35
135
other
12
Build and simulate jump equations like Gillespie simulations and jump diffusions with constant and state-dependent rates and mix with differential equations and scientific machine learning (SciML)
ode sde ssa sciml gillespie neural-ode stochastic scientific-ai scientific-ml jump-diffusion differential-equations stochastic-jump-equations scientific-machine-learning hybrid-differential-equation neural-differential-equations
Created 2017-02-04
1,396 commits to master branch, last one 14 days ago
LRydin
jumpdiff LRydin
5
43
mit
3
JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
python estimator jump-rate kramers-moyal diffusion-term jump-amplitude jump-diffusion non-parametric conditional-moments stochastic-processes
Created 2020-03-19
81 commits to master branch, last one about a year ago