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  1. estimation-for-SDEs estimation-for-SDEs Public

    A short guide to estimating the parameters (drift, hurst and diffusion parameter) in a fractional additive stochastic differential equation.

    Python 3

  2. FractionalOrnstein FractionalOrnstein Public

    MATLAB 1

  3. Risk-averse-feedback Risk-averse-feedback Public

    Python 1

  4. Beyond-CVaR Beyond-CVaR Public

    Python 1

  5. MalliavinRegression MalliavinRegression Public

    Gradient descents using Malliavin calculus

    Jupyter Notebook 1

  6. thesis_simulations thesis_simulations Public

    Here I gather the code for the simulations presented in my thesis.

    Jupyter Notebook 1