tensordev
JAX tensor algebra for signatures, Volterra signatures, free developments and signature kernels.
pip install tensordev
Software
Open-source Python packages, all installable from PyPI.
levymmd
Expected signature kernels and maximum mean discrepancies for inhomogeneous Lévy processes.
pip install levymmd
roughprix
European option pricing in the rough Heston model, with a Taylor expansion in the Hurst exponent H.
pip install roughprix
locsvol
Calibration of local stochastic volatility models by fixed-point iteration.
pip install locsvol