Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
Stochastic PDE solvers (SPDE) built on top of exponax: Exponential Euler-Maruyama stepper for the stochastic Allen-Cahn equation with additive/multiplicative Q-Wiener noise, tamed nonlinearities, ensemble utilities, Richardson extrapolation, and a Strang-split hybrid SSA scaffold.
This project focuses on applying advanced simulation methods for derivatives pricing. It includes Monte-Carlo, Variance Reduction Techniques, Distribution Sampling Methods, Euler Schemes, and Milstein Schemes.
Simulacao da taxa de juros com o modelo CIR (Euler-Maruyama e Milstein), Monte Carlo para precificacao de bonds e construcao da curva a termo.
Write Python code using a YAML-like syntax for cleaner and more readable programming, combining simplicity with the power of the Python ecosystem.
Add a description, image, and links to the milstein topic page so that developers can more easily learn about it.
To associate your repository with the milstein topic, visit your repo's landing page and select "manage topics."