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1. mf-optimal-execution mf-optimal-execution Public

   Research code for my memoir on Mean-Field Optimal Execution. Implements and compares deep learning methods for solving Mean-Field formulations of optimal execution under price impact.

   Jupyter Notebook 2

2. dbdp dbdp Public

   Deep learning schemes for solving high-dimensional nonlinear PDEs. Relying on the classical BSDE representation of PDEs.

   Jupyter Notebook 1

3. quant-forge quant-forge Public

   Quant Forge is an open-source Python library for quantitative finance, offering modular tools for pricing, simulation, calibration, and analysis of financial instruments.

   Python 1

4. py-mlmc py-mlmc Public

   Implementation and testing of multi-level Monte Carlo (MLMC) methods and finite difference methods (FDM) for numerical simulations in finance.

   Jupyter Notebook