daleroberts/heston-qmc

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1
Language
C++
License
BSD 3-Clause "New...
Created over 11 years ago
Updated over 11 years ago

daleroberts/heston-qmc

daleroberts

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Exact simulation and Quasi Monte Carlo for the Heston stochastic volatility model

itermplot

An awesome iTerm2 backend for Matplotlib, so you can plot directly in your terminal.

tv

Quickly view (satellite) imagery directly in your terminal using Unicode 9.0 characters and true color.

bv

Quickly view satellite imagery, hyperspectral imagery, and machine learning image outputs directly in your iTerm2 terminal.

math-finance-cheat-sheet

Mathematical finance cheat sheet.

hdmedians

High-dimensional medians (medoid, geometric median, etc.). Fast implementations in Python.

pypar

Efficient and scalable parallelism using the message passing interface (MPI) to handle big data and highly computational problems.

black-scholes

Black Scholes formula and greeks

heston

Implementations of the Heston stochastic volatility model

poisson

Solve Poisson equation on arbitrary 2D domain using the finite element method.

hdstats

A library of multivariate, high-dimensional statistics, and time series algorithms for spatial-temporal stacks.

s2cloudmask

Sentinel-2 Cloud and Shadow Detection using Machine Learning

datacube-2nd-order-stats

2nd-order robust temporal statistics of Earth observations

heat

Example solvers for the heat equation

pbs-examples

PBS script examples

obstacle-problem

Solve an obstacle problem (i.e, a partial differential equation with constraints)

nrt-predict

Predict from NRT data

inteq-laplace

Boundary integral equation solver for 2D Laplace equation

opendatacube-pixeldrill

Show/extract time series in temporal stack of satellite imagery using a GUI

luigi-examples

Some luigi examples

vgfd

Finite difference solver for the 'Variance Gamma' partial-integro differential equation (PIDE)

ruin-tstable

Finite-time ruin problem for tempered stable processes

binomial

Binomial models

ps_vlm

Measurement of vertical land motion using Sentinel-1 Synthetic Aperture Radar (SAR) observations and a persistent scatterer approach

volmodels

Stochastic volatility models

py-dwt

A simple ctypes wrapper around the GSL wavelet functions.