Pinned Repositories
approximations_to_fractional_stochastic_volterra_equations
deep-primal-dual-BSDE
A deep primal-dual BSDE method for optimal stopping problems
glsm-american
Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
hjb
InverseProblems.jl
multi-asset-American-option
price American arithmetic and geometric put options with d assets
pricing-American-put-option
Pricing American option with a single asset
reinforcement-learning
Notes for reinforcement learning and stochastic control
jiefeiy's Repositories
jiefeiy/approximations_to_fractional_stochastic_volterra_equations
jiefeiy/deep-primal-dual-BSDE
A deep primal-dual BSDE method for optimal stopping problems
jiefeiy/glsm-american
Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
jiefeiy/multi-asset-American-option
price American arithmetic and geometric put options with d assets
jiefeiy/pricing-American-put-option
Pricing American option with a single asset
jiefeiy/hjb
jiefeiy/InverseProblems.jl
jiefeiy/reinforcement-learning
Notes for reinforcement learning and stochastic control