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bsde
Here are 3 public repositories matching this topic...
Deep Global, Local and MultiStep solvers approximating the solutions of FBSDEs with jumps which are related to a class of (PIDEs) Partial Integro-Differential Equations.
machine-learning deep-learning tensorflow stochastic-differential-equations levy-processes pde-solver bsde
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Updated
Nov 27, 2024 - Python
Neural hedging policies (GRU, deep-set, no-trade-band) minimising CVaR, entropic and spectral risk under transaction costs, on fused CUDA kernels at billions of paths per second, with a deep BSDE pricer.
deep-learning monte-carlo cuda pytorch option-pricing quantitative-finance risk-management stochastic-control stochastic-volatility cvar bsde deep-hedging
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Updated
Jul 21, 2026 - Python
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