Lu's repositories
cot-gan
COT-GAN: Generating Sequential Data via Causal Optimal Transport
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CS5228
Project
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ds3_kernel_testing
Material for the practical of the DS3 course on "Representing and comparing probabilities with kernels"
Language:Fortran000
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MMD-GAN
MMD-GAN: Towards Deeper Understanding of Moment Matching Network
Language:PythonBSD-3-Clause000
RL_Agents
Base code for different RL algorithms
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rough_bergomi
A Python implementation of the rough Bergomi model.
Language:Jupyter NotebookMIT000
sigker-nsdes
Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".
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Sigkernel
Follows https://github.com/tgcsaba/KSig converted into pytorch
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SigMusic
Using the signature kernel for the MMD metric for a SGM to generate new music
Language:Jupyter Notebook000
signature_applications
Example applications of path signatures
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VolatilityIsMostlyPathDependent
Code for the paper Volatility is (mostly) path-dependent
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