Pytorch implementation of OCFGAN-GP (CVPR 2020, Oral).
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Apr 3, 2020 - Python
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characteristic-functions
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📚SDE research and modelling in Finance📚
option-pricing stochastic-differential-equations stochastic-processes european-options heston-model characteristic-functions cos-method stochastic-correlation bates-model backward-kolmogorov-equations
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Jun 3, 2024 - Jupyter Notebook
A repo which deals with Computational Methods in Mathematics, mainly applied in the context of Mathematical Finance, even though it can be applied to almost any domain where you need Probability, Partial Differential Equations, Stochastic Differential Equations, Characteristic Functions, Lévy Processes, Stochastic Volatility, FFT, etc.
simulation probability mathematics computational-mathematics partial-differential-equations stochastic-differential-equations computational-finance fourier-transform levy-processes characteristic-functions stochastic-volatility
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Jan 2, 2025 - MATLAB
This Matlab function performs the numerical inversion of a symbolic expression representing a Characteristic function of a discrete distribution, and outputs the discrete CDF over a custom range.
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Mar 9, 2019 - MATLAB
R package for estimation of the four parameters of stable distributions. The package also provides functions to compute characteristic functions and tools to run Monte Carlo simulations.
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Oct 24, 2024 - R
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