My answers to exercises in Stochastic Calculus for Finance by Steven E. Shreve.
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May 20, 2023
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stochastic-calculus
Here are 16 public repositories matching this topic...
Record the learning materials of the course - "STOCHASTIC ANALYSIS OF COMPUTER NETWORKS" in National Cheng Kung University.
learning-materials stochastic-processes probabilistic-models computer-networking stochastic-calculus
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Jun 20, 2018 - C++
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
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Mar 5, 2024 - R
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Feb 26, 2018 - Python
🌔 Malliavin calculus via functional programming
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Oct 7, 2018 - Haskell
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
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Oct 19, 2020 - C++
This Jupyter notebook presents a comprehensive mathematical framework for predicting Bitcoin price movements using stochastic calculus, Fourier analysis, and technical indicators, combining Monte Carlo simulation with RSI and CCI metrics for enhanced accuracy.
machine-learning bitcoin cryptocurrency quantitative-finance technical-analysis mathematical-finance time-series-analysis price-prediction stochastic-calculus financial-modeling
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Nov 30, 2024 - Jupyter Notebook
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May 29, 2022 - Jupyter Notebook
Malliavin calculous application in a financial context
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Feb 5, 2022 - Jupyter Notebook
A stokhazesthai (stochastic) process, also called a random process, is one in which outcomes are uncertain (MAT 455, ISU).
markov-model markov-chain monte-carlo-simulation stochastic-differential-equations markov-chain-monte-carlo stochastic-processes poisson-process conditional-probability queueing-theory law-of-large-numbers stochastic-optimization brownian-motion stochastic-calculus martingales
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Dec 25, 2021 - R
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Sep 19, 2023 - Python
My documented work as I work through a textbook on Stochastic Calculus!
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Jan 10, 2024 - Python
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.
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Aug 24, 2024 - Python
Option pricing and hedging models with analytical formulas, implied volatility smile calibration (SABR & Displaced-Diffusion), exotic payoff replication, and dynamic hedging.
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Nov 26, 2024 - Jupyter Notebook
Bitcoin futures trading strategies
python r school bitcoin cryptocurrency trading-strategies futures diploma-thesis stochastic-calculus futures-contract
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May 9, 2024 - HTML
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