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normal-computing / thermox

Exact OU processes with JAX
Apache License 2.0
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Add multivariate Vasicek model example #28

Open SamDuffield opened 1 month ago

SamDuffield commented 1 month ago

It would be awesome if we can use thermox.log_prob and gradient ascent to fit a multivariate Vasicek model to some real data

KaelanDt commented 2 weeks ago

At the end of this notebook there is an example for bond pricing with the Vasicek model https://github.com/cantaro86/Financial-Models-Numerical-Methods/blob/afd0e5340502f0056aec00b594c64928b34f4bcb/6.1%20Ornstein-Uhlenbeck%20process%20and%20applications.ipynb

SamDuffield commented 2 weeks ago

At the end of this notebook there is an example for bond pricing with the Vasicek model https://github.com/cantaro86/Financial-Models-Numerical-Methods/blob/afd0e5340502f0056aec00b594c64928b34f4bcb/6.1%20Ornstein-Uhlenbeck%20process%20and%20applications.ipynb

This seems to be univariate right? But yeah might be a good resource for inspiration for extending to multivariate case