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stochastic-calculus

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acguidoum / Sim.DiffProc

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An R package for symbolic and numerical computations on scalar and multivariate systems of stochastic differential equations (SDEs). It provides users with a wide range of tools to simulate, estimate, analyze, and visualize the dynamics of these systems in both forms Itô and Stratonovich <doi:10.18637/jss.v096.i02>.

r parallel-computing monte-carlo-simulation stochastic-calculus stochastic-differential-equation moment-equations transition-density dynamic-system
  • Updated Mar 5, 2024
  • R

thk-cheng / Pricing-Auto-callable-Reverse-Convertible-with-Memory-Coupon

Star 3

The main focus of this repository is to analysis the fair price and the risk of the Auto-callable Reverse Convertible issued by Credit Suisse AG on 24/10/2017

probability partial-differential-equations monte-carlo-simulation quantitative-finance differential-evolution stochastic-differential-equations risk-management hedging derivatives-pricing stochastic-calculus risk-neutral-probability
  • Updated Oct 19, 2020
  • C++

wmg9721204 / My-Notes

Star 3

Notes prepared for seminars, compiled from books, or taken in classes are included in this repository. There might be some notes prepared by other seminar participants, which are labelled accordingly.

statistical-learning stochastic-differential-equations stochastic-processes topological-data-analysis machine-learning-theory stochastic-calculus riemannian-manifold probability-theory-measure-based theoretical-statistics applied-algebraic-topology
  • Updated Mar 25, 2022
  • Jupyter Notebook

Yosri-Ben-Halima / Numerical-Projects-in-Stochastic-Calculus-for-Finance

Star 1

The "Numerical Projects in Stochastic Calculus for Finance" repository contains a collection of numerical projects from the book "A First Course in Stochastic Calculus" by L.P. Arguin implemented in Python and focused on stochastic calculus and its applications in finance. The book is also available in pdf format in the repository.

applied-mathematics quantitative-finance stochastic-processes stochastic-calculus
  • Updated Aug 24, 2024
  • Python

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