deep-bsde

Here are 2 public repositories matching this topic...

JuanPVenegas13 / merton-dyson

Merton portfolio optimization with a Wishart-process covariance (Dyson eigenvalue repulsion / RMT), solved via matrix Riccati and a Deep BSDE. 170 tests + CI.

python tensorflow numpy portfolio-optimization computational-finance hjb random-matrix-theory stochastic-control quant-finance merton-model deep-bsde wishart-process

Updated Jun 27, 2026
Python

danrixd / deep-bsde-black-scholes

Star

Clean-room PyTorch replication of Han-Jentzen-E (PNAS 2018) Deep BSDE, applied to the multi-asset Black-Scholes PDE. 100-D basket call priced to 0.22% vs 10^7-path MC.

pytorch option-pricing black-scholes computational-finance high-dimensional-pde deep-bsde

Updated Apr 18, 2026
Python

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