sebjai

Portfolio-Wasserstein-Ball

Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elasticity of variance model

robust-risk-aware-rl

Some implementations from the paper robust risk aware reinforcement learning

STA2503

For various examples and code for STA 2503: Applied Probability in Mathematical Finance

STA2536

For code and snippets for STA 2536: Data Science for Risk Modeling

sebjai/robust-risk-aware-rl

Some implementations from the paper robust risk aware reinforcement learning

sebjai/Portfolio-Wasserstein-Ball

Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elasticity of variance model

sebjai/STA2536

For code and snippets for STA 2536: Data Science for Risk Modeling

sebjai/STA2503

For various examples and code for STA 2503: Applied Probability in Mathematical Finance

sebjai/RL-intro

Code base for some simple reinforcement learning examples related to financial modeling

sebjai/ddpg-stat-arb

sebjai/intro-financial-derivatives

sebjai/barycenter

For generating barycenter of stochastic processes that are solutions to stochastic differential equations

sebjai/Deep-PAMFG

For deep learning approach for principal agent mean field games

sebjai/dynamic-risk-budgeting

For dynamic risk budgeting project

sebjai/offset-credits-rl

for RL version of offset credit project

sebjai/Research

sebjai/ddpg-stat-arb-arxiv

sebjai/BarycentreStochasticProcesses

For computing Barycentres of stochstic processes

sebjai/trondheim-2024