Machine Learning Probabiliste (MLP)
DataCarlo: list of simulated datasets
AIvault: list of trained neural networks
The URL address of files is specific for each model in the categories:
Assets, Curve, Multi-assets, UVMs
Geometric Brownian Motion
(Black and Scholes)
Log-normal d-dimensional model.
Exponential Ornstein-Uhlenbeck volatility
Log-normal mean-reverting stochastic volatility model.
Stochastic Alpha Beta Rho
Log-normal SABR volatility model.
Cox-Ingersoll-Ross volatility
Noncentral chi-squared mean-reverting stochastic volatility model.
Rough Bergomi volatility
Log-Riemann-Liouville stochastic volatility model.
Subordinated jump process
Log-Variance-Gamma model.
Subordinated jump process
Log-Normal-Inverse-Gaussian model.