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Learning SDEs in Python

Stochastic differential equation are everywhere to find in theoretical finance. The article of Desmond J. Higham (see notebook) gives a nice numerical / applied introduction into SDEs. I spend some time and created a conspectus python notebook out of it. Just posting it here, so maybe some quantopian would find it useful as well.

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7 responses

excellent, many thanks

Thanks for sharing. I'm cloning it :)

Thanks a lot !

Fantastic! Thank you

Thank you so much!

I realize that this is 4 years ago, but the latex equations are not rendering, which makes it difficult to read the formulae. Perhaps you should use double $$ signs on each side?

I clicked the "Clone Notebook" button above, and it rendered fine in the Q Research environment...interesting notebook.
You are correct that it doesn't render the Latex content if you click the "View Notebook" button above!