hylzju / master-thesis-gans-for-sdes

Code for master thesis project, GANs for Monte Carlo simulation of SDE paths. Also used for paper on arXiv.

Monte Carlo simulation of SDEs using GANs

This repository contains the code used for my master thesis, which was also used to create the results of the following paper, available in pre-print on arXiv: https://arxiv.org/abs/2104.01437.

For a quick overview, start with the tutorial notebook.

Dependencies

• PyTorch
• NumPy
• Statsmodels
• KDEpy (using FFTKDE for kernel density estimate.)
• Seaborn (alternative for kernel density estimate)

This project is written in Python 3.