sebjai

robust-risk-aware-rl

Some implementations from the paper robust risk aware reinforcement learning

STA2536

For code and snippets for STA 2536: Data Science for Risk Modeling

Portfolio-Wasserstein-Ball

Allows the generation of optimal portfolios with CoIn, Gumbel, and no copula constraint for the stochastic interest rate - constant elasticity of variance model

STA2503

For various examples and code for STA 2503: Applied Probability in Mathematical Finance

RL-intro

Code base for some simple reinforcement learning examples related to financial modeling

intro-financial-derivatives

ddpg-stat-arb

barycenter

For generating barycenter of stochastic processes that are solutions to stochastic differential equations

Deep-PAMFG

For deep learning approach for principal agent mean field games

dynamic-risk-budgeting

For dynamic risk budgeting project

offset-credits-rl

for RL version of offset credit project

Research

ddpg-stat-arb-arxiv

BarycentreStochasticProcesses

For computing Barycentres of stochstic processes

trondheim-2024