# Stochastic Process Calibration using Bayesian Inference & Probabilistic Programs

**URL:** <https://discourse.pymc.io/t/stochastic-process-calibration-using-bayesian-inference-probabilistic-programs/2742>\
**Category:** Sharing\
**Created:** [February 18, 2019, 11:21am UTC](https://discourse.pymc.io/t/stochastic-process-calibration-using-bayesian-inference-probabilistic-programs/2742 "2019-02-18T11:21:55Z")\
**Posts on this page:** 3\
**Page:** 1

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**Author:** ![AlexIoannides](https://yyz2.discourse-cdn.com/flex036/user_avatar/discourse.pymc.io/alexioannides/32/1524_2.png) [@AlexIoannides](https://discourse.pymc.io/u/AlexIoannides)\
**Post date:** [February 18, 2019, 11:21am UTC](https://discourse.pymc.io/t/stochastic-process-calibration-using-bayesian-inference-probabilistic-programs/2742/1 "2019-02-18T11:21:55Z")

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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/](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](https://github.com/AlexIoannides/pymc-stochastic-process)

Thanks,

Alex

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**Author:** ![junpenglao](https://yyz2.discourse-cdn.com/flex036/user_avatar/discourse.pymc.io/junpenglao/32/8_2.png) [@junpenglao](https://discourse.pymc.io/u/junpenglao)\
**Post date:** [February 18, 2019, 12:11pm UTC](https://discourse.pymc.io/t/stochastic-process-calibration-using-bayesian-inference-probabilistic-programs/2742/2 "2019-02-18T12:11:22Z")

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@twiecki @aseyboldt in case you missed it.

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**Author:** ![Marion2025](https://avatars.discourse-cdn.com/v4/letter/m/dc4da7/32.png) [@Marion2025](https://discourse.pymc.io/u/Marion2025)\
**Post date:** [February 21, 2019, 6:30am UTC](https://discourse.pymc.io/t/stochastic-process-calibration-using-bayesian-inference-probabilistic-programs/2742/3 "2019-02-21T06:30:02Z")

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