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  1. sgbm_xva sgbm_xva Public

    This project is a Python demonstrator for the stochastic grid bundling method (SGBM) to solve backward stochastic differential equations (BSDE) (see https://arxiv.org/abs/1801.05180), using the par…

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  2. sdeint sdeint Public

    Forked from mattja/sdeint

    Numerical integration of Ito or Stratonovich SDEs

    Python