Updated 9 months ago
financial-models-numerical-methods
Collection of notebooks about quantitative finance, with interactive python code.
american-options
brownian-motion
econometrics
financial-engineering
financial-mathematics
fourier-inversion
heston-model
jump-diffusion-mertons-model
jupyter-notebooks
kalman-filter
levy-processes
linear-regression
linear-systems-equations
monte-carlo-methods
option-pricing
partial-differential-equations
python
quantitative-finance
stochastic-differential-equations
stochastic-processes
Updated 9 months ago
https://github.com/cvanaret/symmetricblockmatrix
Form symmetric block matrices and condense them (eliminating blocks) at compile time using Schur complements. The goal is to manipulate KKT/augmented/saddle-point systems symbolically to obtain equivalent systems (typically: unsymmetric, symmetrized, and normal equations) that can be tackled by various numerical solvers