luchungi

cot-gan

COT-GAN: Generating Sequential Data via Causal Optimal Transport

CS5228

Project

ds3_kernel_testing

Material for the practical of the DS3 course on "Representing and comparing probabilities with kernels"

Generative-Model-Signature-MMD

Code for "Generative model for financial time series trained with MMD using a signature kernel"

higherOrderKME

HMMforCF

MMD-GAN

MMD-GAN: Towards Deeper Understanding of Moment Matching Network

RL_Agents

Base code for different RL algorithms

rough_bergomi

A Python implementation of the rough Bergomi model.

sigker-nsdes

Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".

luchungi/HMMforCF

luchungi/cot-gan

COT-GAN: Generating Sequential Data via Causal Optimal Transport

luchungi/CS5228

Project

luchungi/ds3_kernel_testing

Material for the practical of the DS3 course on "Representing and comparing probabilities with kernels"

luchungi/Generative-Model-Signature-MMD

Code for "Generative model for financial time series trained with MMD using a signature kernel"

luchungi/higherOrderKME

luchungi/MMD-GAN

MMD-GAN: Towards Deeper Understanding of Moment Matching Network

luchungi/RL_Agents

Base code for different RL algorithms

luchungi/rough_bergomi

A Python implementation of the rough Bergomi model.

luchungi/sigker-nsdes

Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".

luchungi/Sigkernel

Follows https://github.com/tgcsaba/KSig converted into pytorch

luchungi/SigMusic

Using the signature kernel for the MMD metric for a SGM to generate new music

luchungi/signature_applications

Example applications of path signatures

luchungi/VolatilityIsMostlyPathDependent

Code for the paper Volatility is (mostly) path-dependent