DiffEqFinancial
Differential equation problem specifications and scientific machine learning for common financial models
Science Score: 54.0%
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✓CITATION.cff file
Found CITATION.cff file -
✓codemeta.json file
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✓.zenodo.json file
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○DOI references
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○Academic publication links
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✓Committers with academic emails
2 of 17 committers (11.8%) from academic institutions -
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○Scientific vocabulary similarity
Low similarity (11.2%) to scientific vocabulary
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Repository
Differential equation problem specifications and scientific machine learning for common financial models
Basic Info
Statistics
- Stars: 29
- Watchers: 5
- Forks: 14
- Open Issues: 2
- Releases: 12
Topics
Metadata Files
README.md
DiffEqFinancial.jl
This repository holds problem definitions for common financial models for use in the DifferentialEquations ecosystem. The goal is to be a feature-complete set of solvers for the types of problems found in libraries like QuantLib. For example, one can easily specify, solve, and plot the solution for a trajectory of a Heston process via the commands:
julia
prob = HestonProblem(μ,κ,Θ,σ,ρ,u₀)
sol = solve(prob)
plot(sol)
Full documentation is in the DifferentialEquations.jl models documentation
These solvers use DifferentialEquations.jl, meaning that high-performance and high order algorithms are available.
The project is looking for contributors who would like to implement more models. If you're interested and need help getting started, talk to Chris Rackauckas in the Gitter chat.
Owner
- Name: SciML Open Source Scientific Machine Learning
- Login: SciML
- Kind: organization
- Email: contact@chrisrackauckas.com
- Website: https://sciml.ai
- Twitter: SciML_Org
- Repositories: 170
- Profile: https://github.com/SciML
Open source software for scientific machine learning
Citation (CITATION.bib)
@article{DifferentialEquations.jl-2017,
author = {Rackauckas, Christopher and Nie, Qing},
doi = {10.5334/jors.151},
journal = {The Journal of Open Research Software},
keywords = {Applied Mathematics},
note = {Exported from https://app.dimensions.ai on 2019/05/05},
number = {1},
pages = {},
title = {DifferentialEquations.jl – A Performant and Feature-Rich Ecosystem for Solving Differential Equations in Julia},
url = {https://app.dimensions.ai/details/publication/pub.1085583166 and http://openresearchsoftware.metajnl.com/articles/10.5334/jors.151/galley/245/download/},
volume = {5},
year = {2017}
}
GitHub Events
Total
- Watch event: 2
- Delete event: 2
- Issue comment event: 20
- Push event: 15
- Pull request review event: 2
- Pull request event: 7
- Fork event: 2
- Create event: 3
Last Year
- Watch event: 2
- Delete event: 2
- Issue comment event: 20
- Push event: 15
- Pull request review event: 2
- Pull request event: 7
- Fork event: 2
- Create event: 3
Committers
Last synced: 9 months ago
Top Committers
| Name | Commits | |
|---|---|---|
| Christopher Rackauckas | a****s@c****m | 75 |
| aleCombi | a****4@g****m | 13 |
| Anant Thazhemadam | a****m@g****m | 6 |
| dependabot[bot] | 4****] | 6 |
| Chris de Graaf | me@c****v | 2 |
| Krishna Bhogaonker | c****q@g****m | 2 |
| femtocleaner[bot] | f****] | 2 |
| github-actions[bot] | 4****] | 2 |
| Anshul Singhvi | a****7@s****u | 1 |
| Arno Strouwen | a****n@t****e | 1 |
| Banach Technologies | 8****h | 1 |
| David Widmann | d****n@i****e | 1 |
| Elliot Saba | s****t@g****m | 1 |
| Hendrik Ranocha | m****l@r****e | 1 |
| Julia TagBot | 5****t | 1 |
| Lilith Orion Hafner | l****r@g****m | 1 |
| ScottPJones | s****s@a****u | 1 |
Committer Domains (Top 20 + Academic)
Issues and Pull Requests
Last synced: 7 months ago
All Time
- Total issues: 6
- Total pull requests: 32
- Average time to close issues: about 6 hours
- Average time to close pull requests: 18 days
- Total issue authors: 4
- Total pull request authors: 17
- Average comments per issue: 8.5
- Average comments per pull request: 0.78
- Merged pull requests: 30
- Bot issues: 0
- Bot pull requests: 12
Past Year
- Issues: 0
- Pull requests: 5
- Average time to close issues: N/A
- Average time to close pull requests: 3 days
- Issue authors: 0
- Pull request authors: 3
- Average comments per issue: 0
- Average comments per pull request: 1.4
- Merged pull requests: 5
- Bot issues: 0
- Bot pull requests: 0
Top Authors
Issue Authors
- ChrisRackauckas (3)
- deltadecay (1)
- JuliaTagBot (1)
- kain88-de (1)
Pull Request Authors
- dependabot[bot] (10)
- thazhemadam (5)
- ChrisRackauckas (4)
- github-actions[bot] (3)
- aleCombi (3)
- femtocleaner[bot] (2)
- christopher-dG (2)
- LilithHafner (2)
- JuliaTagBot (1)
- banachtech (1)
- ArnoStrouwen (1)
- ranocha (1)
- staticfloat (1)
- asinghvi17 (1)
- devmotion (1)
Top Labels
Issue Labels
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Packages
- Total packages: 1
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Total downloads:
- julia 37 total
- Total dependent packages: 2
- Total dependent repositories: 2
- Total versions: 9
juliahub.com: DiffEqFinancial
Differential equation problem specifications and scientific machine learning for common financial models
- Documentation: https://docs.juliahub.com/General/DiffEqFinancial/stable/
- License: MIT
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Latest release: 2.7.0
published about 1 year ago