#Stochastic-differential-equations
Showing 7 of 7 repositories tagged #stochastic-differential-equations, ranked by stars
Collection of notebooks about quantitative finance, with interactive python code.
Multi-language suite for high-performance solvers of differential equations and scientific machine learning (SciML) components. Ordinary differential equations (ODEs), stochastic differential equations (SDEs), delay differential equations (DDEs), differential-algebraic equations (DAEs), and more in Julia.
Differentiable SDE solvers with GPU support and efficient sensitivity analysis.
Tutorials for doing scientific machine learning (SciML) and high-performance differential equation solving with open source software.
Python package to discover stochastic differential equations from time series data
Case Studies in Finance: Stock Price Valuation using Black-Scholes using Brownian Motions, Investment Project comparing Stocks and Bonds, Determining Pension Fund's Premium. (Case Study Papers and Code)
My personal work on the numerical projects of a book called "A First Course in Stochastic Calculus".