732jhy / Fractional-Brownian-MotionLinks
Python implementation of fractional brownian motion
☆62Updated 5 years ago
Alternatives and similar repositories for Fractional-Brownian-Motion
Users that are interested in Fractional-Brownian-Motion are comparing it to the libraries listed below
Sorting:
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 4 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆54Updated 3 weeks ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆48Updated 2 years ago
- ☆68Updated 2 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆52Updated 2 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆29Updated last year
- Fractional Brownian Motion package☆11Updated 3 years ago
- A model free Monte Carlo approach to price and hedge American options equiped with Heston model, OHMC, and LSM☆113Updated 6 years ago
- ☆19Updated 7 years ago
- A Python implementation of the rough Bergomi model.☆123Updated 6 years ago
- ☆16Updated 5 years ago
- Generate realizations of stochastic processes in python.☆482Updated 2 years ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆35Updated 3 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆57Updated 3 years ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- This repository contains different tools to simulate underlyings under SV dynamics. As well, we have implemented several tools for comput…☆117Updated 2 months ago
- ☆24Updated last year
- Python implementation of ARFIMA process with an aim to simulate series.☆20Updated 4 years ago
- Exact methods for simulating fractional Brownian motion and fractional Gaussian noise in python☆99Updated 4 years ago
- Code for the paper Volatility is (mostly) path-dependent☆66Updated last year
- Implement, demonstrate, reproduce and extend the results of the Risk articles 'Differential Machine Learning' (2020) and 'PCA with a Diff…☆144Updated 2 years ago
- Implementation of the Deep xVA Solver of Gnoatto, Picarelli and Reisinger (2020) https://arxiv.org/abs/2005.02633☆18Updated 5 years ago
- Material for the workshop Machine Learning for Option Pricing, Calibration and Hedging☆15Updated 5 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆49Updated 5 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- Multivariate GARCH modelling in Python☆17Updated 9 months ago
- Large Deviations for volatility options☆13Updated 6 years ago
- Semi-automatic analysis of a financial series using Python.☆13Updated 3 years ago
- Public code for our paper https://ssrn.com/abstract=3958331☆26Updated 3 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Updated 2 years ago