Marc SabatΓ© (@msabvid)
github

msabvid

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Top repositories

1

Deep-PPDE

Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
Python
29
star
2

Solar-Panels-Detection

Detection and location of Solar Panels in aerial images using U-Net
Python
27
star
3

robust_nsde

Robust pricing and hedging via Neural SDEs
Python
19
star
4

Deep-PDE-Solvers

Unbiased Deep Learning based Solvers for parametric PDEs
Python
8
star
5

cpm_agent_based_sim

Control + Bellman equation to find arbitrage strategies in Constant Product Market with constant fees
Jupyter Notebook
4
star
6

SigFiltering

Sampling from the solution of the Zakai equation, using the Signature and Conditional Wasserstein GANs
Python
3
star
7

DeepLearning-StochasticControl

Bellman Equation, Pontryagin Maximum Principle, and Deep Learning to solve stochastic control problems
Jupyter Notebook
2
star
8

MLMC-MIMC-SGD

Stochastic MCMC methods for Bayesian regression with variance reduction (MLMC with antithetic samples, MIMC with antithetic samples, control variate using MAP estimate) using Pytorch
Python
2
star
9

DeepFiltering

Python
1
star