Pinned Repositories
catch_up
This is companion code for the Wilmott article Catch Up by Jesper Andreasen. The xll code is based on Antoine Savine's https://github.com/asavine/xlCppTutorial where more info is available
CompFin
This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK’ at University of Copenhagen.
WBS_FD
appendices
Complement the article 'Differential Machine Learning' (Huge & Savine, 2020), including mathematical proofs and important implementation details for production
notebooks
Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Difference' (2021) by Huge and Savine, and cover implementation details left out from the papers.
brnohu's Repositories
brnohu/CompFin
This is a companion repository for lectures in ‘Finite Difference Methods for Financial Partial Differential Equations’ aka the ‘Saxo PUK’ at University of Copenhagen.
brnohu/WBS_FD
brnohu/catch_up
This is companion code for the Wilmott article Catch Up by Jesper Andreasen. The xll code is based on Antoine Savine's https://github.com/asavine/xlCppTutorial where more info is available