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stochastic-processes

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cantaro86 / Financial-Models-Numerical-Methods

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Collection of notebooks about quantitative finance, with interactive python code.

python linear-regression econometrics partial-differential-equations option-pricing quantitative-finance jupyter-notebooks stochastic-differential-equations american-options kalman-filter stochastic-processes monte-carlo-methods financial-engineering financial-mathematics levy-processes heston-model brownian-motion jump-diffusion-mertons-model fourier-inversion linear-systems-equations

Updated Oct 22, 2024

Jupyter Notebook

SciML / DifferentialEquations.jl

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Multi-language suite for high-performance solvers of differential equations and scientific machine learning (SciML) components. Ordinary differential equations (ODEs), stochastic differential equations (SDEs), delay differential equations (DDEs), differential-algebraic equations (DAEs), and more in Julia.

python r julia ode dde scientific dynamical-systems differential-equations differentialequations sde dae spde stochastic-differential-equations delay-differential-equations numerical stochastic-processes differential-algebraic-equations scientific-machine-learning neural-differential-equations sciml

Updated Sep 17, 2025

Julia

NeuromatchAcademy / course-content

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NMA Computational Neuroscience course

machine-learning neuroscience stochastic-processes dynamic-systems

Updated Jul 21, 2025

Jupyter Notebook

GPflow / GPflow

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Gaussian processes in TensorFlow

machine-learning deep-learning tensorflow ml gaussian-processes variational-inference bayesian-statistics markov-chain-monte-carlo stochastic-processes gp gpflow

Updated May 29, 2025

Python

google-research / torchsde

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Differentiable SDE solvers with GPU support and efficient sensitivity analysis.

deep-neural-networks deep-learning pytorch dynamical-systems differential-equations stochastic-differential-equations stochastic-processes stochastic-volatility-models neural-differential-equations

Updated Dec 30, 2024

Python

avhz / RustQuant

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Rust library for quantitative finance.

rust finance machine-learning statistics trading math mathematics regression rust-lang quantlib option-pricing quantitative-finance stochastic-processes

Updated Sep 1, 2025

Rust

pySTEPS / pysteps

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Python framework for short-term ensemble prediction systems.

weather rainfall optical-flow hydrology stochastic-processes precipitation advection ensemble-prediction nowcasting rainfall-prediction weather-radar forecast-verification

Updated Sep 30, 2025

Python

crflynn / stochastic

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Generate realizations of stochastic processes in python.

probability stochastic stochastic-differential-equations stochastic-processes stochastic-simulation-algorithm stochastic-volatility-models

Updated Dec 9, 2022

Python

quantgirluk / aleatory

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📦 Python library for Stochastic Processes Simulation and Visualisation

statistics monte-carlo probability data-visualization data-viz stochastic-differential-equations stochastic-processes financial-mathematics diffusion-models

Updated Apr 5, 2025

Python

ant-research / EasyTemporalPointProcess

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EasyTPP: Towards Open Benchmarking Temporal Point Processes

benchmarking time-series machine-learning-algorithms stochastic-processes temporal-data

Updated Aug 3, 2025

Python

SciML / StochasticDiffEq.jl

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Solvers for stochastic differential equations which connect with the scientific machine learning (SciML) ecosystem

random stochastic noise differential-equations adaptive differentialequations sde stochastic-differential-equations sode ito hacktoberfest solvers stochastic-processes stratonovich random-differential-equations rode rde scientific-machine-learning sciml

Updated Sep 12, 2025

Julia

YannDubs / Neural-Process-Family

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Code for the Neural Processes website and replication of 4 papers on NPs. Pytorch implementation.

machine-learning deep-learning pytorch uncertainty-estimation stochastic-processes meta-learning neural-processes conditional-neural-process

Updated Jun 12, 2024

Jupyter Notebook

ArturSepp / StochVolModels

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Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, Heston

python monte-carlo-simulation option-pricing quantitative-finance stochastic-processes fourier-transform heston-model volatility-modeling stochastic-volatility heston-stochastic-volatility lognormal-stochastic-volatility

Updated Aug 31, 2025

Python

LRydin / MFDFA

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Multifractal Detrended Fluctuation Analysis in Python

multifractal-analysis self-similarity stochastic-processes fractional-gaussian-noise detrended-fluctuation-analysis

Updated Aug 15, 2022

Python

jason-ash / pyesg

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Economic scenario generator for python: simulate stocks, interest rates, and other stochastic processes.

python open-source stochastic-processes actuarial financial-modeling

Updated Jul 6, 2023

Python

rosewang2008 / language_modeling_via_stochastic_processes

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Language modeling via stochastic processes. Oral @ ICLR 2022.

language language-model stochastic-processes contrastive-learning

Updated May 11, 2023

Python

kingaa / pomp

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R package for statistical inference using partially observed Markov processes

markov-model r time-series state-space statistical-inference particle-filter dynamical-systems abc differential-equations mathematical-modelling likelihood markov-chain-monte-carlo stochastic-processes likelihood-free b-spline measurement-error sequential-monte-carlo sobol-sequence simulation-based-inference iterated-filtering

Updated Sep 29, 2025

R

horchler / SDETools

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Matlab Toolbox for the Numerical Solution of Stochastic Differential Equations

simulation matlab random stochastic noise dynamical-systems sde stochastic-differential-equations numerical-integration stochastic-processes

Updated Sep 30, 2020

MATLAB

rust-dd / stochastic-rs

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stochastic-rs is a Rust library designed for high-performance simulation and analysis of stochastic processes and models in quant finance.

rust finance statistics ai simulation stochastic quant quantitative-finance stochastic-processes malliavin-calculus

Updated Jul 30, 2025

Rust

Eric-Bradford / SDD-GP-MPC

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This repository contains the source code for "Stochastic data-driven model predictive control using Gaussian processes" (SDD-GP-MPC).

machine-learning python3 constraints chemical-engineering monte-carlo-simulation differential-equations gaussian-processes optimization-algorithms stochastic-processes model-predictive-control state-space-model casadi

Updated Apr 9, 2023

Python

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