sebjai Goto Github PK

barycenter

For generating barycenter of stochastic processes that are solutions to stochastic differential equations

barycentrestochasticprocesses

For computing Barycentres of stochstic processes

ddpg-stat-arb

ddpg-stat-arb-arxiv

deep-pamfg

For deep learning approach for principal agent mean field games

dynamic-risk-budgeting

For dynamic risk budgeting project

intro-financial-derivatives

offset-credits-rl

for RL version of offset credit project

portfolio-wasserstein-ball

Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elasticity of variance model

research

rl-intro

Code base for some simple reinforcement learning examples related to financial modeling

robust-risk-aware-rl

Some implementations from the paper robust risk aware reinforcement learning

sta2503

For various examples and code for STA 2503: Applied Probability in Mathematical Finance

sta2536

For code and snippets for STA 2536: Data Science for Risk Modeling

trondheim-2024