bstemper

London

Pinned Repositories

ask_crypto_bot
Alexa Skill Crypto Bot
Language:Python0 1 00
db-summer-challenge-2016
Our winning contribution to the Deutsche Bank Summer Challenge 2016
Language:MATLAB2 2 03
deep_rough_calibration
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
Language:Jupyter Notebook35 3 217
small-time_asymptotics_fractional
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
Language:Python0 1 00
sobol_seq
python implementation of Sobol' sequence generator
Language:Python0 1 00
sobol_seq
python implementation of Sobol' sequence generator
Language:Python67 5 1729
regularity_structure_finance
Bayer, Friz, Gassiat, Martin, Stemper (2017). A regularity structure for finance.
Language:Python9 2 01
small-time_asymptotics_fractional
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
Language:Python12 4 07

bstemper/deep_rough_calibration
C Bayer, B Stemper (2018). Deep calibration of rough stochastic volatility models.
Language:Jupyter Notebook35 3 217
bstemper/db-summer-challenge-2016
Our winning contribution to the Deutsche Bank Summer Challenge 2016
Language:MATLAB2 2 03
bstemper/ask_crypto_bot
Alexa Skill Crypto Bot
Language:Python0 1 00
bstemper/small-time_asymptotics_fractional
Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.
Language:Python0 1 00
bstemper/sobol_seq
python implementation of Sobol' sequence generator
Language:Python0 1 00