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milstein
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Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
pythonstatisticssimulationmonte-carloestimationfittingfitsdestochastic-differential-equationslikelihoodmaximum-likelihooddiffusionmaximum-likelihood-estimationmle-estimationmlesdesbrownianmilsteinait-sahalia
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Jan 9, 2025 - Python
This project focuses on applying advanced simulation methods for derivatives pricing. It includes Monte-Carlo, Variance Reduction Techniques, Distribution Sampling Methods, Euler Schemes, and Milstein Schemes.
von-neumannmonte-carlovariance-reductionderivatives-pricingstratified-samplingcontrol-variatesacceptance-rejectionantithetic-variateseuler-schemesinverse-transform-methodmilstein
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Jul 9, 2024 - Jupyter Notebook
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