Original repositoryProject repository
SigMA
Implementation and experiments for learning parameters in fractional-Brownian-motion-driven SDEs using path signatures and multi-head attention.
PythonPyTorchPath signaturesAttention
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Software & resources
Research code for
reproducible computation.
Original repositories accompanying selected publications—connecting mathematical methods, numerical experiments, and the results they support.
Open research
From a paper to the code behind it.
These repositories contain implementations and experiments developed with collaborators across computational finance, stochastic systems, machine learning, and environmental uncertainty.
Each card links to the original public repository maintained by the project owner—not to a fork—and pairs it with the associated paper and research theme.
Research software library
Seven codebases, organized by application area and connected to the research they reproduce.
Learning & climate-risk uncertainty
Data-driven tools for parameter learning in stochastic models and for estimating climate-related extremes.
Original repositoryProject repository
surgeNN
Training, prediction, evaluation, and visualization workflows for neural-network storm-surge models using atmospheric and tide-gauge data.
PythonTensorFlowLSTMExtreme events
Associated publicationComputing Extreme Storm Surges in Europe Using Neural Networks
Computational finance
Reproducible implementations of Fourier and randomized quasi-Monte Carlo methods for pricing and multivariate risk.
Original repositoryProject repository
Single- and Multi-Level Fourier-RQMC for MSRM
Numerical experiments for single- and multi-level Fourier randomized quasi-Monte Carlo methods applied to multivariate shortfall risk.
Fourier methodsRQMCMultilevelRisk measures
Associated publicationSingle- and Multi-Level Fourier-RQMC Methods for Multivariate Shortfall Risk
Original repositoryProject repository
QMC for Fourier Pricing of Multi-Asset Options
Implementations of randomized quasi-Monte Carlo, Monte Carlo, and Gauss–Laguerre quadrature in Fourier space for multi-asset options.
PythonJupyterRQMCOption pricing
Associated publicationQuasi-Monte Carlo for Efficient Fourier Pricing of Multi-Asset Options
Original repositoryProject repository
Parametric Uncertainty Quantification for Option Pricing
Code accompanying the bachelor thesis on numerical uncertainty quantification in option pricing.
MATLABUncertainty quantificationOption pricing
Associated publicationNumerical Methods for Uncertainty Quantification in Option Pricing
Stochastic reaction networks
Research code for filtering, dimension reduction, rare-event estimation, and efficient multilevel simulation.
Original repositoryProject repository
Markovian Projection in Filtering for SRNs
MATLAB implementation of standard and filtered Markovian projection methods for dimension reduction in partially observed reaction networks.
MATLABFilteringProjectionDimension reduction
Original repositoryProject repository
MLMC with Importance Sampling for SRNs
MATLAB routines comparing multilevel estimators with and without importance sampling for stochastic biological systems and rare events.
MATLABMLMCImportance samplingRare events
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Explore publications and research context.
For article links, preprints, and citation details, visit the full publication record. For the questions and methods connecting these projects, explore the research hubs.