Pinned Loading

1. SigFiltering SigFiltering Public

   Sampling from the solution of the Zakai equation, using the Signature and Conditional Wasserstein GANs

   Python 6 1

2. Deep-PPDE Deep-PPDE Public

   Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options

   Python 36 4

3. robust_nsde robust_nsde Public

   Robust pricing and hedging via Neural SDEs

   Python 37 12

4. Deep-PDE-Solvers Deep-PDE-Solvers Public

   Unbiased Deep Learning based Solvers for parametric PDEs

   Python 11 6

5. DeepLearning-StochasticControl DeepLearning-StochasticControl Public

   Bellman Equation, Pontryagin Maximum Principle, and Deep Learning to solve stochastic control problems

   Jupyter Notebook 11 5

6. SigCGANs/Sig-Wasserstein-GANs SigCGANs/Sig-Wasserstein-GANs Public

   Python 27 10