Stochastic Process Calibration using Bayesian Inference & Probabilistic Programs

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Hello,

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.

https://alexioannides.com/2019/01/18/stochastic-process-calibration-using-bayesian-inference-probabilistic-programs/

The associated Gitub repository with the notebook is here:

https://github.com/AlexIoannides/pymc-stochastic-process

Thanks,

Alex

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@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.

https://discourse.pymc.io/t/help-with-multivariate-sde-timeseries

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