Back to Community
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.

Loading notebook preview...
Notebook previews are currently unavailable.
2 responses

excellent, many thanks

Thanks for sharing. I'm cloning it :)