Stochastic Process Calibration using Bayesian Inference & Probabilistic Programs


Some thoughts on how I’d use Bayesian Inference and PYMC3 if I were still working in the world of Quant-Finance, which I’ve bounced off of a few friends who still build risk models for living.

The associated Gitub repository with the notebook is here:




@twiecki @aseyboldt in case you missed it.

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Thanks for sharing Alex. The applications for quant finance are immense. In my experiene there is a real need for tools to estimate derivative pricing models to historical data.

I had spent some time trying to estimate a Heston stochastic volatility model with PyMC3 but had trouble implementing it.

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