Daniel Bischof

craes. An asset exchange implemented in Rust

american_option_pricing_neural_nets. An american option pricer based on neural network regression.

sdetools. A Python 3 library to estimate and simulate Stochastic Differential Equations

optimal_extreme_value_portfolios. A python implementation of my Master thesis with additional features. concerning surrogate modelling for optimizing heavy-tailed portfolios with general dependence structures