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1. Multilevel-Monte-Carlo-with-Importance-Sampling-for-SRNs Multilevel-Monte-Carlo-with-Importance-Sampling-for-SRNs Public

   This repository includes Matlab codes/routines that were used in our manuscript entitled "Importance sampling for a robust and efficient multilevel Monte Carlo estimator for stochastic reaction net…

   MATLAB 12 2

2. Parametric_Uncertainty_Quantification_option_pricing Parametric_Uncertainty_Quantification_option_pricing Public

   This repository includes Matlab codes/routines that were used in my Bachelor thesis entitled "Numerical Methods For Uncertainty Quantification In Option Pricing" that can be found in: https://www.r…

   MATLAB 3 1

3. Quasi-Monte-Carlo-for-Efficient-Fourier-Pricing-of-Multi-Asset-Options Quasi-Monte-Carlo-for-Efficient-Fourier-Pricing-of-Multi-Asset-Options Public

   Forked from Michael-Samet/Quasi-Monte-Carlo-for-Efficient-Fourier-Pricing-of-Multi-Asset-Options

   Jupyter Notebook

4. Markovian-Projection-in-filtering-for-SRNs Markovian-Projection-in-filtering-for-SRNs Public

   Forked from maksimchup/Markovian-Projection-in-filtering-for-SRNs

   MATLAB

5. SigMA SigMA Public

   Forked from changanluoxue/SigMA

   This work implements "SigMA: Path Signatures and Multi-head Attention for Learning Parameters in fBm-driven SDEs" by Xianglin Wu, Cornelis W. Oosterlee, and Chiheb Ben Hammouda.

   Python

6. Single-and-Multi-level-Fourier-RQMC-for-MSRM Single-and-Multi-level-Fourier-RQMC-for-MSRM Public

   Forked from nnt2306/Single-and-Multi-level-Fourier-RQMC-for-MSRM

   Python