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LongstaffSchwartz
LongstaffSchwartz PublicA project based on the article "Valuing American Options by Simulation - A Simple Least-Squares Approach". We reproduce the results from the paper.
Jupyter Notebook 1
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MeanFieldGames
MeanFieldGames PublicA short project that aims at solving a Forward/Backward PDE system (of HJB and KFP equations) in the context of Mean Field Games.
Jupyter Notebook 3
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UnderstandingTreeSHAP
UnderstandingTreeSHAP PublicA short tutorial on how the algorithm TreeSHAP works, and what are the maths behind it.
Jupyter Notebook 2
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ARIMA
ARIMA PublicA project of linear time series analysis done in collaboration with Jeanne Gauthier.
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