3 results found Sort:

google-research
torchsde google-research
194
1.5k
apache-2.0
34
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
pytorch deep-learning dynamical-systems deep-neural-networks stochastic-processes differential-equations stochastic-volatility-models neural-differential-equations stochastic-differential-equations
Created 2020-07-06
163 commits to master branch, last one 9 months ago
crflynn
stochastic crflynn
80
438
mit
15
Generate realizations of stochastic processes in python.
stochastic probability stochastic-processes stochastic-volatility-models stochastic-simulation-algorithm stochastic-differential-equations
Created 2017-02-17
111 commits to master branch, last one about a year ago
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