PyTorch Extension Library for Quantitative Finance
stochastic-rs is a Rust library designed for high-performance simulation and analysis of stochastic processes and models in quant finance.
This project try to bring closer the stochastic calculus and Typescript.
🌔 Malliavin calculus via functional programming
This is my master's thesis. We review an article of Sefika Kuzgun and David Nualart about convergence of spatial averages for the mild solution of SHE to nornal distribution using Malliavin Calculus and Stein's method
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