A submodule of rmcrkd/ODE-Uniqueness

Related tags

Miscellaneous ode volatility heston
Overview

Heston-ODE

Codacy Badge Codacy Badge

This repo contains the Heston-related code that accompanies the article One-sided maximal uniqueness for a class of spatially irregular ordinary differential equations, a draft of which is included as ODE_uniqueness.pdf.

Installation

To install this package, simply download it. To install dependencies, run pip install -r requirements.txt in this directory, assuming that Python and Pip are already installed.

Usage

The hestonode.py module contains a single HestonODEModel class, which can instantiate and simulate a Heston-ODE volatility model. This is demonstrated in the hestonode.ipynb notebook, and tested in the test_hestonode.py module.

Contact

Feel free to email me at ryan.mccrickerd @ gmail.com :)

test

You might also like...
Owner
null
GitHub
git-partial-submodule is a command-line script for setting up and working with submodules while enabling them to use git's partial clone and sparse checkout features.

Partial Submodules for Git git-partial-submodule is a command-line script for setting up and working with submodules while enabling them to use git's

Nathan Reed 15 Sep 22, 2022
This project provides the proof of the uniqueness of the equilibrium and the global asymptotic stability.

Delayed-cellular-neural-network This project provides the proof of the uniqueness of the equilibrium and the global asymptotic stability. There is als

null 4 Apr 28, 2022
Official code for the ICLR 2021 paper Neural ODE Processes

Neural ODE Processes Official code for the paper Neural ODE Processes (ICLR 2021). Abstract Neural Ordinary Differential Equations (NODEs) use a neura

Cristian Bodnar 50 Oct 28, 2022
Differentiable ODE solvers with full GPU support and O(1)-memory backpropagation.

PyTorch Implementation of Differentiable ODE Solvers This library provides ordinary differential equation (ODE) solvers implemented in PyTorch. Backpr

Ricky Chen 4.4k Jan 4, 2023
Partial implementation of ODE-GAN technique from the paper Training Generative Adversarial Networks by Solving Ordinary Differential Equations

ODE GAN (Prototype) in PyTorch Partial implementation of ODE-GAN technique from the paper Training Generative Adversarial Networks by Solving Ordinary

Somshubra Majumdar 15 Feb 10, 2022
LT-OCF: Learnable-Time ODE-based Collaborative Filtering, CIKM'21

LT-OCF: Learnable-Time ODE-based Collaborative Filtering Our proposed LT-OCF Our proposed dual co-evolving ODE Setup Python environment for LT-OCF Ins

Jeongwhan Choi 15 Dec 28, 2022
Official repository of the paper "A Variational Approximation for Analyzing the Dynamics of Panel Data". Mixed Effect Neural ODE. UAI 2021.

Official repository of the paper (UAI 2021) "A Variational Approximation for Analyzing the Dynamics of Panel Data", Mixed Effect Neural ODE. Panel dat

Jurijs Nazarovs 7 Nov 26, 2022
PyTorch implementation for OCT-GAN Neural ODE-based Conditional Tabular GANs (WWW 2021)

OCT-GAN: Neural ODE-based Conditional Tabular GANs (OCT-GAN) Code for reproducing the experiments in the paper: Jayoung Kim*, Jinsung Jeon*, Jaehoon L

BigDyL 7 Dec 27, 2022
Stable Neural ODE with Lyapunov-Stable Equilibrium Points for Defending Against Adversarial Attacks

Stable Neural ODE with Lyapunov-Stable Equilibrium Points for Defending Against Adversarial Attacks Stable Neural ODE with Lyapunov-Stable Equilibrium

Kang Qiyu 8 Dec 12, 2022