Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)

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.

Stochastic PDE solvers (SPDE) built on top of exponax: Exponential Euler-Maruyama stepper for the stochastic Allen-Cahn equation with additive/multiplicative Q-Wiener noise, tamed nonlinearities, ensemble utilities, Richardson extrapolation, and a Strang-split hybrid SSA scaffold.

Simulação da taxa de juros com o modelo CIR (Euler–Maruyama e Milstein), Monte Carlo para precificação de bonds e construção da curva a termo.

🐍 Write Python code using a YAML-like syntax for cleaner and more readable programming, combining simplicity with the power of the Python ecosystem.