Popular repositories Loading

1. FDM-for-Neural-SDEs FDM-for-Neural-SDEs Public

   Work in progress of Finite Dimensional Matching for Neural SDEs implementation.

   Python 3

2. Interest-Rate-Forecasting Interest-Rate-Forecasting Public

   Implementation of common interest rate models and their extensions.

   C++ 1

3. Numerical-Black-Scholes-Merton Numerical-Black-Scholes-Merton Public

   Numerical implementation of Black Scholes using a version of Crank-Nicolson that reduces the spurious oscillations and TR-BDF2.

   Jupyter Notebook

4. SEAM-Fielder-Optimization SEAM-Fielder-Optimization Public

   Using SEAM to optimize fielder alignments via gradient descent techniques.

   R

5. Fast-Least-Squares-Monte-Carlo Fast-Least-Squares-Monte-Carlo Public

   Fast implementation of Least-Squares Monte Carlo (Longstaff-Schwartz) in C++.

   C++