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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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4 responses

excellent, many thanks

Thanks for sharing. I'm cloning it :)

Thanks a lot !

Fantastic! Thank you